Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5128431 | Operations Research Letters | 2017 | 7 Pages |
Abstract
We consider a limit price of basket options in a large portfolio where the dynamics of basket assets is described as a CEV jump diffusion system. The explicit representation of the limiting price is established using weak convergence of empirical measure valued processes generated by the system. As an application, the closed-form formula of the limit price is derived when the price dynamics of basket assets follows a mixed-double exponential jump-diffusion system.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Lijun Bo, Yongjin Wang,