Accurate closed-form approximation for pricing Asian and basket options

DOI10.1002/asmb.714zbMath1199.91240OpenAlexW4233251734MaRDI QIDQ3552634

Jinke Zhou, Xiaolu Wang

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.714

zbMATH Keywords

Asian optionbasket optionlog-extended-skew-normal distribution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Rényi entropy and complexity measure for skew-Gaussian distributions and related families ⋮ Pricing and hedging Asian basket spread options ⋮ \(t\)-Copula generation for control variates ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Moment matching approximation of Asian basket option prices ⋮ General closed-form basket option pricing bounds

Cites Work

• Bounds for Asian basket options
• A lattice approach for pricing of multivariate contingent claims
• The nontruncated marginal of a truncated bivariate normal distribution
• Pricing of arithmetic basket options by conditioning.
• Efficient Monte Carlo pricing of European options using mean value control variates
• Bounds for the price of discrete arithmetic Asian options
• An efficient convergent lattice algorithm for European Asian options
• Laguerre Series for Asian and Other Options
• The Valuation of Path Dependent Contracts on the Average
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options
• Sharp Upper and Lower Bounds for Basket Options
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