Advanced Search
MyIDEAS: Login to save this paper or follow this series

Pricing of arithmetic basket options by conditioning

Contents:

Author Info

  • Griselda Deelstra
  • Jan Liinev
  • Michèle Vanmaele
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7600/1/gd-0014.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/7600.

    as in new window
    Length:
    Date of creation: 2004
    Date of revision:
    Publication status: Published in: Insurance. Mathematics & economics (2004) v.34 n° 1,p.55-77
    Handle: RePEc:ulb:ulbeco:2013/7600

    Contact details of provider:
    Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles
    Web page: http://difusion.ulb.ac.be
    More information through EDIRC

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, INFORMS, vol. 40(12), pages 1705-1711, December.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.
    2. Xia Su, 2006. "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers, University of Bonn, Germany bgse14_2006, University of Bonn, Germany.
    3. 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.
    4. Griselda Deelstra & Alexandre Petkovic & Michèle Vanmaele, 2008. "Pricing and Hedging Asian Basket Spread Options," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2008_004, ULB -- Universite Libre de Bruxelles.
    5. 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.
    6. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 339-354.
    7. 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.
    8. 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.
    9. Kenichiro Shiraya & Akihiko Takahashi, 2013. "Pricing Basket Options under Local Stochastic Volatility with Jumps," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-336, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised May 2014.
    10. Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche, CIRPEE 0605, CIRPEE.
    11. 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.
    12. 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.
    13. Kenichiro Shiraya & Akihiko Takahashi, 2014. "Pricing Basket Options under Local Stochastic Volatility with Jumps," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-913, CIRJE, Faculty of Economics, University of Tokyo.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ulb:ulbeco:2013/7600. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.