Basket Options on Heterogeneous Underlying Assets
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- Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011.
"Heterogeneous Basket Options Pricing Using Analytical Approximations,"
Multinational Finance Journal,
Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
- Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
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KeywordsBasket options; maximum likelihood; hedging performance; options pricing; Monte Carlo simulation;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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