Pricing basket options by polynomial approximations

DOI10.1155/2016/9747394zbMath1435.91198OpenAlexW2528991317WikidataQ59125239 ScholiaQ59125239MaRDI QIDQ670300

Alexander Alvarez, Pablo Olivares

Publication date: 18 March 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/9747394

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The multivariate normal distribution
• Chebyshev interpolation for parametric option pricing
• An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions
• Closed Form Approximations for Spread Options
• Multi-asset spread option pricing and hedging
• Pricing and Hedging Spread Options
• Numerical Methods for Special Functions

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