Accurate closed‐form approximation for pricing Asian and basket options
Copyright policy )Accurate closed‐form approximation for pricing Asian and basket options
AbstractBy approximating the distribution of the sum of correlated lognormals with some log‐extended‐skew‐normal distribution, we present closed‐form approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both computational simplicity and accuracy. Copyright © 2008 John Wiley & Sons, Ltd.
- Nankai University China (People's Republic of)
Asian option, Derivative securities (option pricing, hedging, etc.), Numerical methods (including Monte Carlo methods), log-extended-skew-normal distribution, basket option, Statistical methods; risk measures, Probabilistic models, generic numerical methods in probability and statistics
Asian option, Derivative securities (option pricing, hedging, etc.), Numerical methods (including Monte Carlo methods), log-extended-skew-normal distribution, basket option, Statistical methods; risk measures, Probabilistic models, generic numerical methods in probability and statistics
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