Pricing and hedging basket options with exact moment matching

DOI10.1016/j.insmatheco.2016.03.013zbMath1369.91183arXiv1312.4443OpenAlexW3121232300MaRDI QIDQ343968

Tommaso Paletta, Arturo Leccadito, Radu S. Tunaru

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4443

zbMATH Keywords

Hermite polynomialsbasket optionsmoment matchingdisplaced log-normal jump-diffusion processquasi-analytical pricing

Mathematics Subject Classification ID

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

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