The pricing of basket options: A weak convergence approach
نویسندگان
چکیده
We consider a limit price of basket options in a large portfolio where the dynamics of basket assets is described as a CEV jump diffusion system. The explicit representation of the limiting price is established using weak convergence of empirical measure valued processes generated by the system. As an application, the closed-form formula of the limit price is derived when the price dynamics of basket assets follows a mixed-double exponential jump-diffusion system. AMS 2000 subject classifications: 3E20, 60J20.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 45 شماره
صفحات -
تاریخ انتشار 2017