Approximated moment-matching dynamics for basket-options pricing
By Damiano Brigo, Fabio Mercurio, F. Rapisarda, Rita Scotti. 2004
70 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b8d8986134c31478e53ae239ce111a69ce7b405b
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In Economics and Econometrics
- David Hobson *
- Marc J. Goovaerts
- Jan Dhaene
- J. Liinev
- P. Laurence
- Michèle Vanmaele
- Tai-Ho Wang
- Griselda Deelstra
In Finance
- David Hobson *
- Jan Dhaene
- Marc J. Goovaerts
- P. Laurence
- Tai-Ho Wang
- Michèle Vanmaele
- Griselda Deelstra
- J. Liinev
Citations in the corpus
- Pricing of arithmetic basket options by conditioning (2004, unknown): “In Table 6, we discuss the approximations for the dataset of Brigo et al. (2003) used in Table 3 with different weights, different spot prices and different correlations.”
- 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”
- The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing (2012, unknown): “Using constant drift and volatility terms, {μ ∈ RI−1 and σ ∈ R+I−1}, and relying on standard technique of the methods of moments, one can approximate the cumulative pollution process, QI−,t = ∑Ij=1, j =i Qj,t, with a new geometric Brownian motion (see Brigo et al. 2004).”
- 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 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, [16], the integral is difficult to evaluate in practice and one must resort to Monte-Carlo methods, to recursive methods, see Ware and Avelassani [23], or to methods using characteristic function”