Pricing and hedging Asian basket spread options

DOI10.1016/J.CAM.2009.11.027MaRDI QIDQ848538zbMATH OpenOpenAlexFDO

Authors Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele

Publication date 4 March 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2009.11.027

zbMATH Keywords

Asian basket spread optionmoment matchingnon-comonotonic sumshifted log-extended skew normal law

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Accurate closed-form approximation for pricing Asian and basket options
• An easy computable upper bound for the price of an arithmetic Asian option
• Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
• Bivariate normal mixture spread option valuation
• Bounds for Asian basket options
• Bounds for the price of discrete arithmetic Asian options
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Pricing and Hedging Spread Options
• Pricing of arithmetic basket options by conditioning.
• Static super-replicating strategies for a class of exotic options
• Static-arbitrage upper bounds for the prices of basket options
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The nontruncated marginal of a truncated bivariate normal distribution
• The value of an Asian option
• Upper and lower bounds for sums of random variables

Cited in

(12)

• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
• Density estimates and short-time asymptotics for a hypoelliptic diffusion process
• Pricing of spread and exchange options in a rough jump-diffusion market
• Pricing and risk management of interest rate swaps
• The hedging strategy of an Asian option
• Quantile hedging for basket derivatives
• Multi-asset spread option pricing and hedging
• General closed-form basket option pricing bounds
• The pricing of basket-spread options
• Closed-form approximations for spread options in Lévy markets
• Bounds for Asian basket options
• Moment matching approximation of Asian basket option prices

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