Pricing and Hedging Basket Options with Exact Moment Matching
نویسندگان
چکیده
منابع مشابه
Lognormal Moment Matching and Pricing of Basket Options
In this paper we will approximate the sum of the margins from a two dimensional lognormal variable by moment matching with a one dimensional lognormal variable. We will look at different cases of correlation and volatility in the two dimensional variable to analyse the accuracy of the approximation. Basket options will be valuated based on the sum of two coupled lognormal assets and a univariat...
متن کاملPricing 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. ...
متن کاملPricing 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, ...
متن کاملApproximated moment-matching dynamics for basket-options simulation
The aim of this paper is to present two moment matching procedures for basketoptions pricing and to test its distributional approximations via distances on the space of probability densities, the Kullback-Leibler information (KLI) and the Hellinger distance (HD). We are interested in measuring the KLI and the HD between the real simulated basket terminal distribution and the distributions used ...
متن کاملPricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa [1]. Efficient path-generation algorithms, such as Linear Trans...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2368316