scholarly journals The design and pricing of fixed- and moving-window contracts: An application of Asian-Basket option pricing methods to the hog-finishing sector

2003 ◽  
Vol 23 (11) ◽  
pp. 1047-1073 ◽  
Author(s):  
Renyuan Shao ◽  
Brian Roe
Keyword(s):  
Option Pricing ◽  
Moving Window ◽  
Basket Option

Improved Additive Operator Splitting Algorithms for Basket Option Pricing Model

2013 ◽  
Vol 756-759 ◽  
pp. 2739-2743
Author(s):  
Xiao Zhong Yang ◽  
Gao Xin Zhou
Keyword(s):  
Option Pricing ◽  
Operator Splitting ◽  
Stability And Convergence ◽  
Pricing Model ◽  
Explicit Schemes ◽  
Basket Option ◽  
Additive Operator ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Additive Operator Splitting

In order to solve Black-Scholes equation of basket option pricing model by numerical method. This paper used Additive Operator Splitting (AOS) algorithm to split the multi-dimensional Black-Scholes equation into equivalent one-dimensional equation set, and constructed 'Explicit-Implicit' and 'Implicit-Explicit' schemes to solve it. Then compatibility, stability and convergence of those schemes were analyzed. Finally, this paper compared computation time and precision of the schemes through numerical experiments. 'Explicit-Implicit' and 'Implicit-Explicit' schemes of AOS algorithms have both higher accuracy and faster computing speed and them have practical significance in solving basket option pricing model.

American Basket Option Pricing Formulas in Uncertain Environment

2021 ◽  
pp. 2150011
Author(s):  
Rong Gao ◽  
Xiaofang Yin
Keyword(s):  
Option Pricing ◽  
Option Price ◽  
Weighted Average ◽  
Call Option ◽  
Strike Price ◽  
Basket Option ◽  
Put Option ◽  
The Right ◽  
The Relationship ◽  
Financial Environment

American basket option is a contract containing multiple underlying assets, and its payoff is correlated with average prices or weighted average prices of these assets on or before the expiration date. The type of option entitles a holder the right to trade at the strike price within a specified date, and this right can be waived. Therefore, there is a certain price to be paid for acquiring this right, which produces the problem of option pricing. A lot of literature shows blackthat basket option price is usually cheaper than option portfolios on individual underlying assets. Based on this advantage, basket option blackbecomes popular among investors. Consequently, this paper predominantly explores four types of American basket option pricing in uncertain financial environment. Specifically they are American arithmetic basket call option, American arithmetic basket put option, American geometric basket call option and American geometric basket put option. Assuming that these stocks prices follow corresponding uncertain differential equations, we derive corresponding option pricing formulas. Some numerical examples are taken to illustrate the feasibility of pricing formulas. Simultaneously, this paper discusses the relationship between option price and some parameters.

Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps

2018 ◽  
Vol 34 (6) ◽  
pp. 782-802
Author(s):  
Griselda Deelstra ◽  
Sinem Kozpınar ◽  
Matthieu Simon
Keyword(s):  
Option Pricing ◽  
Basket Option ◽  
Markov Modulated
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