Pricing and hedging basket options to prespecified levels of acceptability

DOI10.1080/14697680902878113zbMath1192.91183OpenAlexW3125558895MaRDI QIDQ3577149

Dilip B. Madan

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902878113

zbMATH Keywords

stochastic processesstochastic volatilityLévy processmathematical financeequity options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A convex quadratic semi-definite programming approach to the partial additive constant problem in multidimensional scaling ⋮ Conic coconuts: the pricing of contingent capital notes using conic finance ⋮ SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS ⋮ A simple efficient approximation to price basket stock options with volatility smile ⋮ The valuation of structured products using Markov chain models ⋮ Three Non-Gaussian Models of Dependence in Returns

Cites Work

• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

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