par Deelstra, Griselda 
;Petkovic, Alexandre ;Vanmaele, Michèle
Référence Journal of computational and applied mathematics, 233, 11, page (2814-2830)
Publication Publié, 2010
;Petkovic, Alexandre ;Vanmaele, MichèleRéférence Journal of computational and applied mathematics, 233, 11, page (2814-2830)
Publication Publié, 2010
Article révisé par les pairs
| Résumé : | 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. © 2009 Elsevier B.V. All rights reserved. |
