We propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model. The method is based on Taylor and Chebyshev expansions and involves mixed exponential-power moments of a Gaussian distribution. Our numerical results show that both approaches are comparable in accuracy to a standard Monte Carlo method, with a lesser computational effort
Markov switching regime models have played an increasingly important role in finance and economics, ...
Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model...
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma ...
Abstract. In this paper we use Bernstein and Chebyshev polynomi-als to approximate the price of some...
Abstract. In this paper we propose a closed-form approximation for the price of basket options under...
In this paper, we use polynomial approximations in terms of Taylor, Chebyshev, and cubic splines to ...
This article presents lower and upper bounds on the prices of basket options for a general class of ...
We present a new valuation method for basket options that is based on a limiting approximation of th...
In this paper we study the approximation of a sum of assets having marginal logreturns being multiva...
This paper proposes the use of analytical approximations to price an heterogeneous basket option com...
In this paper we study the approximation of a sum of assets having marginal log-returns being multiv...
We consider the problem of pricing basket options in a multivariate Black–Scholes or Variance-Gamma ...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
ABSTRACT. This paper provides approximate formulas that generalize the Black-Scholes formula in all ...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
Markov switching regime models have played an increasingly important role in finance and economics, ...
Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model...
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma ...
Abstract. In this paper we use Bernstein and Chebyshev polynomi-als to approximate the price of some...
Abstract. In this paper we propose a closed-form approximation for the price of basket options under...
In this paper, we use polynomial approximations in terms of Taylor, Chebyshev, and cubic splines to ...
This article presents lower and upper bounds on the prices of basket options for a general class of ...
We present a new valuation method for basket options that is based on a limiting approximation of th...
In this paper we study the approximation of a sum of assets having marginal logreturns being multiva...
This paper proposes the use of analytical approximations to price an heterogeneous basket option com...
In this paper we study the approximation of a sum of assets having marginal log-returns being multiv...
We consider the problem of pricing basket options in a multivariate Black–Scholes or Variance-Gamma ...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
ABSTRACT. This paper provides approximate formulas that generalize the Black-Scholes formula in all ...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
Markov switching regime models have played an increasingly important role in finance and economics, ...
Includes bibliographical references (leaves 70-71).The celebrated Black-Scholes option pricing model...
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma ...
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