Bounds for Asian basket options

Valuation of Asian Quanto-Basket Options

Pricing and hedging Asian basket spread options

Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. ...

Asian basket options and implied correlations in energy markets

We address the problem of valuation and hedging of Asian basket and spread options derivatives common in energy markets. We extend the Generalized LogNormal approach, introduced in Borovkova et al. (2007), to Asian basket options and apply it to energy option markets. We provide closed form formulae for the option price and the greeks, which is extremely useful for option traders. Inverting the...

Pricing and Hedging Asian Basket Spread Options in a Nutshell

In this paper we study the pricing and hedging of arithmetic Asian basket spread options of the European type and present the main results of Deelstra et al. (2008). Asian basket spread options are written on a multivariate underlying. Thus we fi rst need to specify a fi nancial market model containing multiple stocks. We choose to use the famous Black and Scholes model. by: Griselda Deelstra, ...

Pricing Asian and Basket Options Via Taylor Expansion

Asian options belong to the so-called path-dependent derivatives. They are among the most difficult to price and hedge both analytically and numerically. Basket options are even harder to price and hedge because of the large number of state variables. Several approaches have been proposed in the literature, including Monte Carlo simulations, tree-based methods, partial differential equations, a...