ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING

By Carol Alexander, Aanand Venkatramanan. 2009

49 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/711343586fd58bcbf93bede7e3d5db5fd8c5a471

Citations in the corpus

• General closed-form basket option pricing bounds (2016, unknown): “In this regard, Alexander and Venkatramanan (2012) derive a general analytic approximation for pricing basket options expressing each option’s price as a sum of the prices of various compound exchange options.”