Pricing Basket Options by Polynomial Approximations
Joint Authors
Olivares, Pablo
Alvarez, Alexander
Source
Journal of Applied Mathematics
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-10-05
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model.
The method is based on Taylor and Chebyshev expansions and involves mixed exponential-power moments of a Gaussian distribution.
Our numerical results show that both approaches are comparable in accuracy to a standard Monte Carlo method, with a lesser computational effort.
American Psychological Association (APA)
Olivares, Pablo& Alvarez, Alexander. 2016. Pricing Basket Options by Polynomial Approximations. Journal of Applied Mathematics،Vol. 2016, no. 2016, pp.1-12.
https://search.emarefa.net/detail/BIM-1107248
Modern Language Association (MLA)
Olivares, Pablo& Alvarez, Alexander. Pricing Basket Options by Polynomial Approximations. Journal of Applied Mathematics No. 2016 (2016), pp.1-12.
https://search.emarefa.net/detail/BIM-1107248
American Medical Association (AMA)
Olivares, Pablo& Alvarez, Alexander. Pricing Basket Options by Polynomial Approximations. Journal of Applied Mathematics. 2016. Vol. 2016, no. 2016, pp.1-12.
https://search.emarefa.net/detail/BIM-1107248
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1107248