Moment matching approximation of Asian basket option prices
type: Item
instance of: scholarly article
title: Moment matching approximation of Asian basket option prices
zbMATH Open document ID: 1195.91155
author: Griselda Deelstra
author: Ibrahima Diallo
author: Michèle Vanmaele
published in: Journal of Computational and Applied Mathematics
publication date: 2010-05-17T00:00:00Z
review text: The authors propose pricing methods for European style discrete arithmetic Asian basket options in a Black/Scholes framework. An Asian basket option (ABS) is a path-dependent multi-asset option whose payoff combines the payoff structure of an Asian option with that of a basket option. In order o obtain approximations of the price of an ABS, in papers by \textit{M. Currang} [Manage. Sci. 40, No. 12, 1705--1711 (1994; Zbl 0824.90012)], \textit{L. C. G. Rogers} and \textit{Z. Shi} [ J. Appl. Probab. 32, No. 4, 1077--1088 (1995; Zbl 0839.90013)], \textit{J. A. Nielsen} and \textit{K. Sandmann} [J. Financ. Quant. Anal. 38, 449--473 (2003)], and \textit{G. Deelstra, J. Liinev} and \textit{M. Vanmaele} [Insur. Math. Econ. 34, No. 1, 55--77 (2004; Zbl 1068.91030)] , conditioning variables and/or moment matching methods were used. The main innovation of the present paper is to show how to extend the approximation of Curran (loc. cit.) and Deelstra, Liinev and Vanmaele (loc. cit.) to a broad class of normal conditioning random variables, and to improve upper bounds based on the approach due to Rogers and Shi (loc. cit.).
reviewed by: Klaus Schürger
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 5708951
zbMATH Keywords: Asian basket option
zbMATH Keywords: sum of non-independent random variables
zbMATH Keywords: moment matching
zbMATH Keywords: log-extended-skew-normal
describes a project that uses: sn
MaRDI profile type: Publication
full work available at URL: j.cam.2009.03.004
OpenAlex ID: W1987690555
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DOI: 10.1016/J.CAM.2009.03.004
description: scientific article; zbMATH DE number 5708951