Pricing Basket Options by Polynomial Approximations
We propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model. The method is based on Taylor and Chebyshev expansions and involves mixed exponential-power moments of a Gaussian distribution. Our numerical results show that both approaches are compara...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2016-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2016/9747394 |
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