Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
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Publication:661267
DOI10.1016/j.insmatheco.2010.08.008zbMath1231.91451arXiv1003.1848OpenAlexW3124599709MaRDI QIDQ661267
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.1848
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Related Items (11)
On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Lower bound approximation of nonlinear basket option with jump-diffusion ⋮ A new concept of reliability system and applications in finance ⋮ Asymptotic Expansion Approach in Finance ⋮ APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH ⋮ An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS ⋮ LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ General closed-form basket option pricing bounds
Cites Work
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Approximate basket options valuation for a jump-diffusion model
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
- Identification of the local speed function in a Lévy model for option pricing
- Smart expansion and fast calibration for jump diffusions
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- Option price when the stock is a semimartingale
- On Asian option pricing for NIG Lévy processes
- The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
- Markovian projection onto a Heston model
- A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
- From local volatility to local Lévy models
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- The value of an Asian option
- Option pricing when underlying stock returns are discontinuous
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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