Closed-form approximations for basket option pricing under normal tempered stable Lévy model-Reference-Cited by-同舟云学术

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Closed-form approximations for basket option pricing under normal tempered stable Lévy model

Published:2024-09 Issue: Volume:74 Page:102233
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Hu Dongdong,Sayit Hasanjan,Yao Jing^ORCID,Zhong Qifeng

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Reference42 articles.

1. Handbook of mathematical functions with formulas, graphs, and mathematical tables;Abramowitz,1948

2. Multivariate asset models using Lévy processes and applications;Ballotta;The European Journal of Finance,2016

3. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finance and Stochastics,1997

4. Closed form spread option valuation;Bjerksund;Quantitative Finance,2014

5. A closed form approach to the valuation and hedging of basket and spread option;Borovkova;Journal of Derivatives,2007

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