Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

DOI10.1007/s11147-015-9115-6zbMath1345.91074OpenAlexW1834055901MaRDI QIDQ315045

Jacinto Marabel Romo

Publication date: 19 September 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-015-9115-6

zbMATH Keywords

stochastic volatilityequally weighted basket optionsmultifactoroutperformance optionsstochastic correlationworst-of options

Mathematics Subject Classification ID

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

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Wishart processes
• Option pricing when correlations are stochastic: an analytical framework
• Riding on the smiles
• A multifactor volatility Heston model
• Optimal positioning in derivative securities
• WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Derivative Pricing With Wishart Multivariate Stochastic Volatility