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2016 Pricing Basket Options by Polynomial Approximations
Pablo Olivares, Alexander Alvarez
J. Appl. Math. 2016: 1-12 (2016). DOI: 10.1155/2016/9747394

Abstract

We propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model. The method is based on Taylor and Chebyshev expansions and involves mixed exponential-power moments of a Gaussian distribution. Our numerical results show that both approaches are comparable in accuracy to a standard Monte Carlo method, with a lesser computational effort.

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Pablo Olivares. Alexander Alvarez. "Pricing Basket Options by Polynomial Approximations." J. Appl. Math. 2016 1 - 12, 2016. https://doi.org/10.1155/2016/9747394

Information

Received: 2 May 2016; Revised: 21 July 2016; Accepted: 26 July 2016; Published: 2016
First available in Project Euclid: 17 December 2016

zbMATH: 07037302
MathSciNet: MR3557892
Digital Object Identifier: 10.1155/2016/9747394

Rights: Copyright © 2016 Hindawi

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