The pricing of basket-spread options

DOI10.1080/14697688.2014.949289zbMath1402.91795OpenAlexW1966724979MaRDI QIDQ5247278

Chun-Sing Lau, Chi-Fai Lo

Publication date: 23 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.949289

zbMATH Keywords

Black-Scholes modelderivatives pricingclosed-form approximationparametric correctionportfolio hedgingmulti-variate contingent

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Pricing vulnerable basket spread options with liquidity risk ⋮ Pricing of Asian-Type and Basket Options via Bounds

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Mathematical models of financial derivatives
• Closed Form Approximations for Spread Options
• Multi-asset spread option pricing and hedging
• Pricing and Hedging Spread Options
• ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING

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