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An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

✍ Scribed by Funahashi, Hideharu; Kijima, Masaaki

Book ID
127250181
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
437 KB
Volume
21
Category
Article
ISSN
1350-486X

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## Abstract Asian‐Basket‐type moving‐window contracts are an increasingly used risk‐management tool in the North American hog sector. The moving‐window contract is decomposed into a portfolio of a long Asian‐Basket put and a short Asian‐Basket call option. A projected break‐even price is used to de