کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4641274 | 1341302 | 2010 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing and hedging Asian basket spread options
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
Asian options, basket options and spread options have been extensively studied in the literature. However, few papers deal with the problem of pricing general Asian basket spread options. This paper aims to fill this gap. In order to obtain prices and Greeks in a short computation time, we develop approximation formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give explicitly the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 233, Issue 11, 1 April 2010, Pages 2814–2830
Journal: Journal of Computational and Applied Mathematics - Volume 233, Issue 11, 1 April 2010, Pages 2814–2830
نویسندگان
Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele,