Pricing and hedging Asian basket spread options

DOI10.1016/j.cam.2009.11.027zbMath1186.91212OpenAlexW2028204940MaRDI QIDQ848538

Alexandre Petkovic, Griselda Deelstra, Michèle Vanmaele

Publication date: 4 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.11.027

zbMATH Keywords

moment matchingAsian basket spread optionnon-comonotonic sumshifted log-extended skew normal law

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Density estimates and short-time asymptotics for a hypoelliptic diffusion process ⋮ General closed-form basket option pricing bounds ⋮ Pricing of spread and exchange options in a rough jump-diffusion market ⋮ Pricing and risk management of interest rate swaps

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