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General closed-form basket option pricing bounds

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Figure

Figure 1. Lower bound CGK(t, κ) as a function of the parameter κ for a mean reverting jump diffusion model
Figure 2 shows the two-step procedure with reference to a mean reverting jump diffusion model.The lower bound can also be used for the computations of Greeks
Figure 3. The CPU time (seconds) for the jump diffusion model of Section 4.1 as a function of the basket dimension.Numerical values are given in Table 12.
Table 2. Prices of basket options computed for different strikes Kapproximation based on the arithmetic-geometric mean inequality as in formulae (17), (19) and (18), respectively.S in the geometric Brownian motion model ofSection 3
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