LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS

DOI10.1142/S0219024914500071zbMath1290.91168arXiv1212.3147OpenAlexW3125138325MaRDI QIDQ5411991

Guoping Xu, Harry Zheng

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.3147

zbMATH Keywords

second-order asymptotic expansionlower bound approximationbasket options valuationlocal volatility jump-diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Lower bound approximation of nonlinear basket option with jump-diffusion ⋮ Asymptotic Expansion Approach in Finance ⋮ The pricing of basket options: a weak convergence approach ⋮ An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ General closed-form basket option pricing bounds ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

Cites Work

• Approximate basket options valuation for a jump-diffusion model
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
• Pricing of arithmetic basket options by conditioning.
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• General Lower Bounds for Arithmetic Asian Option Prices
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option

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