Pricing and Hedging Asian Basket Spread Options
AbstractIn this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number 2008_004.
Length: 26 p.
Date of creation: 2008
Date of revision:
Publication status: Published by:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-21 (All new papers)
- NEP-FMK-2008-10-21 (Financial Markets)
- NEP-SEA-2008-10-21 (South East Asia)
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