Heterogeneous Basket Options Pricing Using Analytical Approximations
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- Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
References listed on IDEAS
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- Griselda Deelstra & Jan Liinev & Michèle Vanmaele, 2004. "Pricing of arithmetic basket options by conditioning," ULB Institutional Repository 2013/7600, ULB -- Universite Libre de Bruxelles.
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World Scientific Publishing Co. Pte. Ltd..
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- Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009. "Basket Options on Heterogeneous Underlying Assets," Cahiers de recherche 0918, CIRPEE.
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- 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, vol. 26(C), pages 339-354.
- Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
More about this item
KeywordsBasket Options; Options Pricing; Analytical Approximations; Monte Carlo Simulation;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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