Pricing of arithmetic basket options by conditioning

104 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Bounds for the price of discrete arithmetic Asian options (2006, methodology): “Let S be given by (6)-(8) and Λ is a normally distributed conditioning variable such that (σB(T − i), Λ) are bivariate normally distributed for all i.”
Static-arbitrage upper bounds for the prices of basket options (2005, methodology): “However, as pointed out by Laurence and Wang (2005) and Deelstra et al. (2004), given the equality K X i wiX ðiÞ M !þ ¼ X i wiX ðiÞ M K !þ K X i wiX ðiÞ M !”
Static-arbitrage optimal subreplicating strategies for basket options (2005, background): “Given the difficulty of calculating exact prices several authors, including Deelstra et al [9], have looked for upper and lower bounds.”
Partially Exact and Bounded Approximations for Arithmetic Asian Options (2006, unknown): “We finally note that the above analysis also holds for the approximations of Deelstra et al. [2004] that use constant coefficients.”
General closed-form basket option pricing bounds (2016, unknown): “Deelstra et al. (2004) develop a general framework for pricing basket and Asian options via conditioning and derive lower and upper bounds based on comonotonic risks.”