Pricing of arithmetic basket options by conditioning
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/7600.
Date of creation: 2004
Date of revision:
Publication status: Published in: Insurance. Mathematics & economics (2004) v.34 n° 1,p.55-77
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- Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
- Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, vol. 40(12), pages 1705-1711, December.
- Xia Su, 2006. "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers bgse14_2006, University of Bonn, Germany.
- Hobson, David & Laurence, Peter & Wang, Tai-Ho, 2005. "Static-arbitrage optimal subreplicating strategies for basket options," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 553-572, December.
- Griselda Deelstra & Alexandre Petkovic & Michèle Vanmaele, 2008. "Pricing and Hedging Asian Basket Spread Options," Working Papers ECARES 2008_004, ULB -- Universite Libre de Bruxelles.
- Vanmaele, Michele & Deelstra, Griselda & Liinev, Jan, 2004. "Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 343-367, October.
- Brückner, Karsten, 2008. "Quantifying the error of convex order bounds for truncated first moments," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 261-270, February.
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- Michèle Vanmaele & Griselda Deelstra & Jan Liinev, 2004. "Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables," ULB Institutional Repository 2013/7604, ULB -- Universite Libre de Bruxelles.
- Xu, Guoping & Zheng, Harry, 2009. "Approximate basket options valuation for a jump-diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 188-194, October.
- Kenichiro Shiraya & Akihiko Takahashi, 2013. "Pricing Basket Options under Local Stochastic Volatility with Jumps," CARF F-Series CARF-F-336, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2014.
- Guoping Xu & Harry Zheng, 2012. "Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models," Papers 1212.3147, arXiv.org, revised Oct 2013.
- Kenichiro Shiraya & Akihiko Takahashi, . "Pricing Basket Options under Local Stochastic Volatility with Jumps," CIRJE F-Series CIRJE-F-913, CIRJE, Faculty of Economics, University of Tokyo.
- Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
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