Pricing of arithmetic basket options by conditioning
نویسندگان
چکیده
منابع مشابه
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. ...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2004
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2003.11.002