Accurate closed-form approximation for pricing Asian and basket options

被引：16
|
作者：
Zhou, Jinke [1 ]
Wang, Xiaolu [2 ]
机构：
[1] Nankai Univ, Chern Inst Math, Tianjin, Peoples R China
[2] Nankai Univ, Shenzhen Financial Engn Coll, Shenzhen, Peoples R China
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2008年 / 24卷 / 04期
关键词：
log-extended-skew-normal; Asian option; basket option;
D O I：
10.1002/asmb.714
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
By approximating the distribution of the sum of correlated lognormals with some log-extended-skewnormal distribution, we present closed-form approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both Computational simplicity and accuracy. Copyright (C) 2008 John Wiley & Sons, Ltd.
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页码：343 / 358
页数：16
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