The pricing of basket options: a weak convergence approach

DOI10.1016/J.ORL.2017.01.007zbMath1409.91227OpenAlexW2581909453MaRDI QIDQ1728166

Li Jun Bo, Yong Jin Wang

Publication date: 22 February 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.01.007

zbMATH Keywords

weak convergencebasket optionsjump diffusion

Mathematics Subject Classification ID

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

Related Items (1)

Markov chain approximation and measure change for time-inhomogeneous stochastic processes

Cites Work

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• Systemic Risk in Interbanking Networks
• LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS

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