The closed-form approximation to price basket options under stochastic interest rate-Reference-Cited by-同舟云学术

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The closed-form approximation to price basket options under stochastic interest rate

Published:2021-09 Issue: Volume: Page:102434
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Yu Bo,Zhu Hongmei,Wu Ping

Funder

Chinese National Funding of Social Sciences

Natural Sciences and Engineering Research Council of Canada

Government of Jiangsu Province

National Office for Philosophy and Social Sciences

Publisher

Elsevier BV

Subject

Finance

Reference15 articles.

1. Approximated moment-matching dynamics for basket-options pricing;Brigo;Quant. Financ.,2004

2. General closed-form basket option pricing bounds;Caldana;Quant. Financ.,2016

3. Lognormal Distribution: Theory and Application;Crow,1988

4. Valuing Asian and portfolio options by conditioning on the geometric mean price;Curran;Manag. Sci.,1994

5. Pricing of arithmetic basket options by conditioning;Deelstra;Insur. Math. Econ.,2004

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model;The North American Journal of Economics and Finance;2024-09

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