Moment matching approximation of Asian basket option prices
DOI10.1016/J.CAM.2009.03.004zbMATH Open1195.91155OpenAlexW1987690555MaRDI QIDQ970389FDOQ970389
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
Recommendations
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 (16)
- Intrinsic expansions for averaged diffusion processes
- Pricing and hedging Asian basket spread options
- Accurate closed-form approximation for pricing Asian and basket options
- Approximated moment-matching dynamics for basket-options pricing
- An extension of the chaos expansion approximation for the pricing of exotic basket options
- A moment expansion approach to option pricing
- Pricing Asian options via compound gamma and orthogonal polynomials
- Geometric average basket option pricing
- 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
- Basket option pricing and implied correlation in a one-factor Lévy model
- Pricing of basket options using univariate normal inverse Gaussian approximations
- Bounds for Asian basket options
- Pricing of arithmetic basket options by conditioning.
- Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
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