Pricing and hedging Asian basket spread options
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.
scientific article; zbMATH DE number 5677328
scientific article