Pricing Asian and basket options via Taylor expansion

By Nengjiu Ju. 2002

143 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0ce0457c6bdc9dec66e581571c2b6c0455c3443b

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Citations in the corpus

Static-arbitrage upper bounds for the prices of basket options (2005, methodology): “Indeed, although an analytical formula for the call option does exist, see for example the text by Kwok (1998), the integral is difficult to evaluate in practice and one must resort to Monte-Carlo methods, to recursive methods (Ware and Avelassani 2001), to methods using characteristic functions (Ju”
Partially Exact and Bounded Approximations for Arithmetic Asian Options (2006, unknown): “) ( N Λ Λ σ μ − Λ instead of Λ), we found it numerically much more stable to condition directly on a standardised version of Λ. The approximations requiring numerical integration are the recent approximations of Vyncke et al. [2004] (which we will refer to as the LBFA/CUB and LBFA/ICUB approximation”
Static-arbitrage optimal subreplicating strategies for basket options (2005, methodology): “Indeed, although an analytical formula for the call option does exist, see for example the text by Kwok, [17], the integral is difficult to evaluate in practice and one must resort to Monte-Carlo methods, to recursive methods, see Ware and Avelassani [24], or to methods using characteristic function”
ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING (2009, unknown): “Analytic approximations for pricing rainbow options include that of Johnson (1987), who extends the two-asset rainbow option pricing formula of Stulz (1982) to the general case of N assets. Ouwehand and West (2006) verify the results of Johnson (1987) and explain how to prove them using a multivaria”
Pricing continuously sampled Asian options with perturbation method (2003, methodology): “Following the mathematical analysis approach, Ju (2002) obtains an approximate formula for the characteristic function of the average rate.”
General closed-form basket option pricing bounds (2016, unknown): “Ju (2002) considers a Taylor expansion of the ratio of two characteristic functions: the one of the arithmetic average and the one of an approximating lognormal random variable.”