𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Pricing and hedging Asian basket spread options

✍ Scribed by Griselda Deelstra; Alexandre Petkovic; Michèle Vanmaele


Book ID
108075699
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
766 KB
Volume
233
Category
Article
ISSN
0377-0427

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Accurate closed-form approximation for p
✍ Jinke Zhou; Xiaolu Wang 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 194 KB

## Abstract By approximating the distribution of the sum of correlated lognormals with some log‐extended‐skew‐normal distribution, we present closed‐form approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both computational simplic

Pricing basket and Asian options under t
✍ Kwangil Bae; Jangkoo Kang; Hwa-Sung Kim 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 230 KB 👁 1 views

## Abstract This study derives approximate valuation formulas for basket options and Asian options under the jump‐diffusion process. To obtain an approximation for options prices under the jump‐diffusion process, we extend the Taylor expansion method developed by Ju N. (2002) under the diffusion pr

Pricing and hedging capped options
✍ Phelim P. Boyle; Stuart M. Turnbull 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 724 KB