An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

DOI10.1080/1350486X.2013.812855zbMath1396.91727OpenAlexW2058698505MaRDI QIDQ4585895

Hideharu Funahashi, Masaaki Kijima

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2013.812855

zbMATH Keywords

local volatilitybasket optionAsian basket optionaverage optionWiener-Ito chaos expansionspread option

Mathematics Subject Classification ID

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

Related Items (7)

A unified approach for the pricing of options relating to averages ⋮ An analytical approximation for pricing VWAP options ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy ⋮ Artificial neural network for option pricing with and without asymptotic correction ⋮ AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES

Cites Work

• The Pricing of Options and Corporate Liabilities
• Does the Hurst index matter for option prices under fractional volatility?
• An asymptotic expansion approach to pricing financial contingent claims
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Efficient Monte Carlo pricing of European options using mean value control variates
• Long memory in continuous-time stochastic volatility models
• The Malliavin Calculus and Related Topics
• The Valuation of Path Dependent Contracts on the Average
• Pricing Asian options with stochastic volatility
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• Numerical techniques for the valuation of basket options and their Greeks

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