A Generalized Bachelier Formula for Pricing Basket and Spread Options
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. ...
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 کاملPricing and Hedging Spread Options
We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
متن کاملAdaptive Numerical Integration and Control Variates for Pricing Basket Options
We develop a numerical method for pricing multidimensional vanilla options in the Black-Scholes framework. In low dimensions, we improve an adaptive integration algorithm proposed by two of the authors by introducing a new splitting strategy based on a geometrical criterion. In higher dimensions, this new algorithm is used as a control variate after a dimension reduction based on principal comp...
متن کاملAn Approximate Formula for Pricing American Options
An approximate formula for pricing American options along the lines of MacMillan [1986] and Barone-Adesi and Whaley [1987] is presented. This analytical approximation is as efficient as the existing ones, but it is remarkably more accurate. In particular, it yields good results for long maturity options for which the existing analytical ones fare poorly. It is also demonstrated that this approx...
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: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2698307