Pricing Basket Options under Local Stochastic Volatility with Jumps
ã€€ã€€ This paper develops a new approximation formula for pricing basket options in a local-stochastic volatility model with jumps. In particular, the model admits local volatility functions and jump components in not only the underlying asset price processes, but also the volatility processes. To the best of our knowledge, the proposed formula is the first one which achieves an analytical approximation for the basket option prices under this type of the models. Moreover, some numerical experiments confirm the validity of the method.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jan 2014|
|Contact details of provider:|| Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033|
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC
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.:
- Akihiko Takahashi & Toshihiro Yamada, 2013. "On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver," CIRJE F-Series CIRJE-F-902, CIRJE, Faculty of Economics, University of Tokyo.
- Bjørn Eraker, 2004. "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1367-1404, 06.
- 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.
- Akihiko Takahashi & Toshihiro Yamada, 2013. "On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver," CARF F-Series CARF-F-326, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Oct 2013.
- Masaaki Fujii & Akihiko Takahashi, 2012. "ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-24.
- Masaaki Fujii & Seisho Sato & Akihiko Takahashi, 2012. "An FBSDE Approach to American Option Pricing with an Interacting Particle Method," Papers 1211.5867, arXiv.org.
- Griselda Deelstra & Jan Liinev & Michèle Vanmaele, 2004. "Pricing of arithmetic basket options by conditioning," ULB Institutional Repository 2013/7600, ULB -- Universite Libre de Bruxelles.
- Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method," Papers 1204.2638, arXiv.org, revised Apr 2012.
- Kenichiro Shiraya & Akihiko Takahashi, 2014. "Pricing Multiasset Cross‐Currency Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(1), pages 1-19, 01.
- Akihiko Takahashi & Kohta Takehara, 2010. "A Hybrid Asymptotic Expansion Scheme: An Application To Long-Term Currency Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1179-1221.
When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2014cf913. 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: (CIRJE administrative office)
If references are entirely missing, you can add them using this form.