کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4638227 1631999 2016 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets
چکیده انگلیسی

This paper develops a new approximation formula for pricing basket options in a local-stochastic volatility model with jumps. In particular, the model admits local volatility functions and jump components in not only the underlying asset price processes, but also the volatility processes. To the best of our knowledge, the proposed formula is the first one which achieves an analytical approximation for the basket option prices under this type of the models.Moreover, in numerical experiments, we provide approximate prices for basket options on the WTI futures and Brent futures based on the parameters through calibration to the plain-vanilla option prices, and confirm the validity of our approximation formula.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 292, 15 January 2016, Pages 230–256
نویسندگان
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