کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077340 1374126 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
چکیده انگلیسی

In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral differential equation (PIDE) for general stochastic processes and use the asymptotic expansion method to approximate the conditional expectation of the stochastic variance associated with the basket value process. The numerical tests show that the suggested method is fast and accurate in comparison with the Monte Carlo and other methods in most cases.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 47, Issue 3, December 2010, Pages 415-422
نویسندگان
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