Add to ORKGAbstract. In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our numerical results show that a second order expansion provides accurate prices of spread options with low computational costs, even for out-of-the-money contracts. 1
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model...
In this thesis we discuss basket option valuation for jump-diffusion models. We suggest three new ap...
We propose a closed-form approximation for the price of basket options under a multivariate Black-Sc...
Abstract. In this paper we use Bernstein and Chebyshev polynomi-als to approximate the price of some...
This article presents lower and upper bounds on the prices of basket options for a general class of ...
In this paper we study the approximation of a sum of assets having marginal logreturns being multiva...
In this paper we study the approximation of a sum of assets having marginal log-returns being multiv...
This paper proposes the use of analytical approximations to price an heterogeneous basket option com...
In this paper we propose a closed-form pricing formula for European basket and spread options. Our a...
This thesis applies the decomposition suggested by Alexander and Venkatra-manan (2012) to the pay-of...
We provide two new closed-form approximation methods for pricing spread options on a basket of risky...
We present a new valuation method for basket options that is based on a limiting approximation of th...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model...
In this thesis we discuss basket option valuation for jump-diffusion models. We suggest three new ap...
We propose a closed-form approximation for the price of basket options under a multivariate Black-Sc...
Abstract. In this paper we use Bernstein and Chebyshev polynomi-als to approximate the price of some...
This article presents lower and upper bounds on the prices of basket options for a general class of ...
In this paper we study the approximation of a sum of assets having marginal logreturns being multiva...
In this paper we study the approximation of a sum of assets having marginal log-returns being multiv...
This paper proposes the use of analytical approximations to price an heterogeneous basket option com...
In this paper we propose a closed-form pricing formula for European basket and spread options. Our a...
This thesis applies the decomposition suggested by Alexander and Venkatra-manan (2012) to the pay-of...
We provide two new closed-form approximation methods for pricing spread options on a basket of risky...
We present a new valuation method for basket options that is based on a limiting approximation of th...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model...
In this thesis we discuss basket option valuation for jump-diffusion models. We suggest three new ap...