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Showing 1 to 7 of 7 for “"Basket Options"”.
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Machine learning for pricing European basket options
… process regression to approximate the European basket option prices. For the underlying asset of European basket option, we assume it follows multivariate Black \&\ Scholes model, and we can derive the PDE for the option price. In order to deal with the curse of dimensionality, we assume that …
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Bounds on baskets option prices
… to produce closed-form solutions for arithmetic basket options. This problem stems from the lack of an analitical form for the distribution of a sum of lognormal random variables. lVlarket participants commonly price basket options by assuming the basket follows lognormal dynamics, although it is …
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Pricing multi-asset options in exponential levy models
… traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real …
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A comparison of three analytical approximations for basket option valuation
… prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has …
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Herd behavior index for bespoke baskets: approximation via convex ordering
… stock prices only based on today's vanilla options by applying the Herd Behavior Index in bespoke baskets. The HIX is a measure of implied degree of co-movement of stocks over a given time and could be used to indicate the level of positive dependence between stocks. The calculation of the …
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The use of implied methodologies in mathematical finance
… option prices, for the pricing of exotic options. Closed form valuation expressions are provided within this generalised approach for Asian and Basket options. Furthermore, analytical formulae for the hedging parameters of those exotic products are derived. Monte Carlo simulation confirms …
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Multi-Asset Equity Options
… of underlying assets in multi-asset equity options pricing. In this thesis, Monte Carlo simulation methods are used in order to quantify the precision of multi-asset equity options pricing. The developed quantlets in XploRe are specific to three standard types of multi-asset equity options. …