Moment matching approximation of Asian basket option prices

DOI10.1016/J.CAM.2009.03.004MaRDI QIDQ970389zbMATHOpenAlexFDO

Authors Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele

Publication date 17 May 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.2009.03.004

zbMATH Keywords

moment matchingAsian basket optionsum of non-independent random variableslog-extended-skew-normal

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• Accurate closed-form approximation for pricing Asian and basket options
• Bounds for Asian basket options
• Bounds for the price of discrete arithmetic Asian options
• Multivariate skew-normal distributions with applications in insurance
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Pricing of arithmetic basket options by conditioning.
• Skewed multivariate models related to hidden truncation and/or selective reporting. With discussion and a rejoinder by the authors.
• The Skew-normal Distribution and Related Multivariate Families*
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The value of an Asian option
• Upper and lower bounds for sums of random variables
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(16)

• Geometric average basket option pricing
• Pricing Asian options via compound gamma and orthogonal polynomials
• Pricing and hedging basket options with exact moment matching
• Bounds for Asian basket options
• An extension of the chaos expansion approximation for the pricing of exotic basket options
• Basket option pricing and implied correlation in a one-factor Lévy model
• Control variates and conditional Monte Carlo for basket and Asian options
• Pricing of arithmetic basket options by conditioning.
• Accurate closed-form approximation for pricing Asian and basket options
• Pricing of basket options using univariate normal inverse Gaussian approximations
• Intrinsic expansions for averaged diffusion processes
• Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
• Pricing and hedging Asian basket spread options
• A moment expansion approach to option pricing
• A moment matching approach to log-normal portfolio optimization
• Approximated moment-matching dynamics for basket-options pricing

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