General closed-form basket option pricing bounds

DOI10.1080/14697688.2015.1073854zbMath1468.91162OpenAlexW3123854250MaRDI QIDQ5001150

Ruggero Caldana, Gianluca Fusai, Martino Grasselli, Alessandro Gnoatto

Publication date: 16 July 2021

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/15729/7/basket_option_qf.pdf

zbMATH Keywords

option pricingcontrol variateFourier inversionbasket option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items (16)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Least-square-based control variate method for pricing options under general factor models ⋮ A hybrid Monte Carlo acceleration method of pricing basket options based on splitting ⋮ DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ A general control variate method for Lévy models in finance ⋮ CBI-time-changed Lévy processes ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps ⋮ A simple efficient approximation to price basket stock options with volatility smile ⋮ Testing for normality in any dimension based on a partial differential equation involving the moment generating function ⋮ Pricing exchange options with correlated jump diffusion processes ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ American-type basket option pricing: a simple two-dimensional partial differential equation ⋮ BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On an optimization problem related to static super-replicating strategies
• Affine processes on positive semidefinite matrices
• Approximate basket options valuation for a jump-diffusion model
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
• Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
• Static-arbitrage optimal subreplicating strategies for basket options
• Pricing and hedging Asian basket spread options
• Static super-replicating strategies for a class of exotic options
• Bounds for Asian basket options
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Pricing of arithmetic basket options by conditioning.
• Option pricing when correlations are stochastic: an analytical framework
• Static arbitrage bounds on basket option prices
• Riding on the smiles
• Static-arbitrage upper bounds for the prices of basket options
• Modelling spikes and pricing swing options in electricity markets
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• Accurate closed-form approximation for pricing Asian and basket options
• Multi-asset spread option pricing and hedging
• A Fourier Transform Method for Spread Option Pricing
• Fourier space time-stepping for option pricing with Lévy models
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Pricing and Hedging Spread Options
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING
• The multivariate Variance Gamma model: basket option pricing and calibration
• Closed form spread option valuation
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Lévy-Based Cross-Commodity Models and Derivative Valuation
• LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
• Sharp Upper and Lower Bounds for Basket Options
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

This page was built for publication: General closed-form basket option pricing bounds