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Pricing Basket Options by Polynomial Approximations
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نویسنده
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olivares p. ,alvarez a.
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منبع
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journal of applied mathematics - 2016 - دوره : 2016 - شماره : 0
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چکیده
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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 comparable in accuracy to a standard monte carlo method,with a lesser computational effort. © 2016 pablo olivares and alexander alvarez.
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آدرس
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department of mathematics,ryerson university,350 victoria st.,toronto,on, Canada, department of mathematics,ryerson university,350 victoria st.,toronto,on, Canada
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Authors
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