[PDF] Top 20 General closed-form basket option pricing bounds

... the basket dimension is ...and basket size, as we increase the number of assets up to ...a basket with positive weights under the jump diffusion model of Section ...increasing basket size ... See full document

... function to be exponential affine with respect to the initial value of the state variables. Moreover, the a priori choice for F K   , as well as for the coefficients b 1 ,  , b M N + in Equations (3), (4) generalizes ... See full document

... very general framework encompassing a wide class of discrete time multi-factor asymmetric volatility models for which we show how to derive (using conditional moment-generating functions) closed-form ... See full document

... very general framework encompassing a wide class of discrete time multi-factor asymmetric volatility models for which we show how to derive (using conditional moment-generating functions) closed-form ... See full document

... derive option bounds from concurrently expiring op- tion prices assuming the (pricing) representative investor’s relative risk aversion is ...the option bounds are given by ... See full document

... spread option price involves a two-dimensional ...the option to expire in the ...distributed, closed- form formula (Margrabe 1978) exists for pricing exchange options, which are spread ... See full document

... European option valuation relies on solv- ing the Black-Scholes partial differential equation ...no closed-form solution ...enables option formulas to be expressed in terms of market asset ... See full document

... for pricing European spread options by extending the lower bound approximation of Bjerksund and Stensland (2011) beyond the classical Black–Scholes ...exact closed form solution via Fourier inversion ... See full document

... corresponding proof are based on two approaches, which we develop and describe in detail. First, the recursive-sum theory, which gives the exact solution in a compact finite form using a recursive indexing. Second, ... See full document

... an option pricing model that admits for some type of disequilibrium, in terms for example of abnormal returns in the derivative and underlying assets markets, specially considering the current levels of ... See full document

... Assumptions (2,3) and (4-7) that found the BSM equation (1) or it ’ s generalization on n- dimensional e-space R n can describe option pricing model for constant set of major risks only. Any random changes ... See full document

... Another advantage of the CVaR-option relation is that we do not require complex parameter estimation techniques to estimate CVaR from options or vice versa. As mentioned previously, to obtain CVaR from options, we ... See full document

... rational bounds hedge tends to have a smaller left hand tail than the delta-gamma ...rational bounds hedge is attractive. The performance of the rational bounds hedge can be much improved by imposing ... See full document

... currency option pricing model under stochastic interest ...the pricing formula by integrating default-free bonds as discount factors, but the interest term structure isn’t defined clearly in his ... See full document

... Natural volatility and option pricing Carey, Alexander.. Online at https://mpra.ub.uni-muenchen.de/6709/ MPRA Paper No.[r] ... See full document

... for pricing European type options are ...call option, the implementation involves integrat- ing high degree Legendre polynomials against exponential ... See full document

... functional form, in addition to the usual distributional properties ~e+g+, centering and scaling!+ This is more efficient than fully nonparametric estimation, which runs into dif- ficulties in small samples+ It is ... See full document

... compound option and our new result on the derivation of its CRR premium of European call option when the underlying asset is a European call option on ... See full document

... particular basket default swap and CDO. The main problem in the pricing of such instruments is modelling the structure of dependency of the default ...the pricing of first to default ...to ... See full document

... To give some idea of its accuracy we refer first to Table I.~ wher’e three sets of Americ:an option values, for" the data -originally given by Cox and Rubinstein [4] and F’arkinson [8] a[r] ... See full document