Pricing of Asian-Type and Basket Options via Bounds

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...

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. ...

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, ...

Fast Pricing of European Asian Options with Provable Accuracy: Single-Stock and Basket Options

This paper develops three polynomial-time pricing techniques for European Asian options with provably small errors, where the stock prices follow binomial trees or trees of higher-degree. The first technique is the first known Monte Carlo algorithm with analytical error bounds suitable for pricing single-stock options with meaningful confidence and speed. The second technique is a general recur...

Valuation of Asian Quanto-Basket Options