Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models
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References listed on IDEAS
- 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.
- Deelstra, G. & Liinev, J. & Vanmaele, M., 2004. "Pricing of arithmetic basket options by conditioning," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 55-77, February.
- Griselda Deelstra & Jan Liinev & Michèle Vanmaele, 2004. "Pricing of arithmetic basket options by conditioning," ULB Institutional Repository 2013/7600, ULB -- Universite Libre de Bruxelles.
- H. Albrecher & P. A. Mayer & W. Schoutens, 2008. "General Lower Bounds for Arithmetic Asian Option Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 123-149.
- Levy, Edmond, 1992. "Pricing European average rate currency options," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 474-491, 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.
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- Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
- Kenichiro Shiraya & Akihiko Takahashi, 2015. "An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets," CIRJE F-Series CIRJE-F-973, CIRJE, Faculty of Economics, University of Tokyo.
- Kenichiro Shiraya & Akihiko Takahashi, 2015. "An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets," CARF F-Series CARF-F-361, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
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