Approximate basket options valuation for a jump-diffusion model

被引：19
|
作者：
Xu, Guoping [2 ]
Zheng, Harry [1 ]
机构：
[1] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2BZ, England
[2] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 45卷 / 02期
关键词：
Basket option pricing; Jump-diffusion model; Analytic approximation; Conditional moment matching; ACTUARIAL SCIENCE; ASIAN OPTIONS; COMONOTONICITY; LOGNORMALS; FINANCE; BOUNDS;
D O I：
10.1016/j.insmatheco.2009.05.012
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we discuss the approximate basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated diffusion processes with idiosyncratic and systematic jumps. We suggest a new approximate pricing formula which is the weighted sum of Roger and Shi's lower bound and the conditional second moment adjustments. We show that the approximate value is always within the lower and upper bounds of the option and is very sharp in our numerical tests. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：188 / 194
页数：7
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