Moment matching approximation of Asian basket option prices

DOI10.1016/J.CAM.2009.03.004zbMATH Open1195.91155OpenAlexW1987690555MaRDI QIDQ970389FDOQ970389

Michèle Vanmaele, Ibrahima Diallo, Griselda Deelstra

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)

Cites Work

• Skewed multivariate models related to hidden truncation and/or selective reporting. With discussion and a rejoinder by the authors.
• Title not available (Why is that?)
• The value of an Asian option
• The Skew-normal Distribution and Related Multivariate Families*
• Multivariate skew-normal distributions with applications in insurance
• The concept of comonotonicity in actuarial science and finance: theory.
• Pricing of arithmetic basket options by conditioning.
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• The concept of comonotonicity in actuarial science and finance: applications.
• Upper and lower bounds for sums of random variables
• Bounds for the price of discrete arithmetic Asian options
• Bounds for Asian basket options
• Accurate closed-form approximation for pricing Asian and basket options

Cited In (9)

• Intrinsic expansions for averaged diffusion processes
• Accurate closed-form approximation for pricing Asian and basket options
• A moment expansion approach to option pricing
• Pricing Asian options via compound gamma and orthogonal polynomials
• A moment matching approach to log-normal portfolio optimization
• Control variates and conditional Monte Carlo for basket and Asian options
• Pricing and hedging basket options with exact moment matching
• FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING
• Pricing of arithmetic basket options by conditioning.

Uses Software

• sn

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