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Lower bound approximation of nonlinear basket option with jump-diffusion
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نویسنده
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taherinasab yasser ,soheili ali reza ,amini mohammad
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منبع
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journal of mathematical modeling - 2021 - دوره : 9 - شماره : 1 - صفحه:31 -44
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چکیده
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We extend the method presented by xu and zheng (int. j. theor. appl. finance 17 (2014) 21--36) for the general case. we develop a numerical-analytic formula for pricing nonlinear basket options with jump-diffusion model. we derive an easily computed method by using the asymptotic expansion to find the approximate value of the lower bound of nonlinear european basket call prices since a nonlinear basket option is generally not closed-form. we use split step backward euler and compensated split step backward euler methods with monte carlo simulation to check the validity of the presented method.
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کلیدواژه
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Basket option nonlinear stochastic differential equations Poisson process Split Step Backward Euler method
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آدرس
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ferdowsi university of mashhad, department of applied mathematics, Iran, ferdowsi university of mashhad, the center of excellence on modeling and control systems, department of applied mathematics, Iran, ferdowsi university of mashhad, department of statistics, Iran
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Authors
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