Pricing and hedging Asian basket spread options
type: Item
instance of: scholarly article
title: Pricing and hedging Asian basket spread options
zbMATH Open document ID: 1186.91212
author: Griselda Deelstra
author: Alexandre Petkovic
author: Michèle Vanmaele
published in: Journal of Computational and Applied Mathematics
publication date: 2010-03-04T00:00:00Z
review text: This paper is devoted to the problem of pricing general Asian basket spread options. Prices and Greeks are obtained in short computation time. There are developed approximation formulae based on comonotonicity theory and moment matching methods. The authors compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. For the proposed methods Greeks are given explicitly. The obtained results are extended to the case of options denominated in foreign currency.
reviewed by: Krzysztof Piasecki
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5677328
zbMATH Keywords: Asian basket spread option
zbMATH Keywords: non-comonotonic sum
zbMATH Keywords: moment matching
zbMATH Keywords: shifted log-extended skew normal law
MaRDI profile type: Publication
full work available at URL: j.cam.2009.11.027
OpenAlex ID: W2028204940
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DOI: 10.1016/J.CAM.2009.11.027
description: scientific article; zbMATH DE number 5677328