Approximated Moment-Matching Dynamics for Basket-Options Simulation

2001 ◽  
Author(s):  
Damiano Brigo ◽  
Fabio Mercurio ◽  
Francesco Rapisarda ◽  
Rita Scotti
Keyword(s):  
Moment Matching ◽  
Basket Options

A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching

2019 ◽  
Keyword(s):  
Normal Distribution ◽  
Moment Matching ◽  
Option Prices ◽  
Accurate Approximation ◽  
Basket Options ◽  
Basket Option ◽  
Analytical Formulas ◽  
Exact Moment ◽  
Log Normal ◽  
Log Normal Distribution

This article provides a new methodology for pricing and hedging basket options. The authors approximate the basket by using the shifted log-normal distribution with the polynomial expansion, which can match exactly any required m moments of the basket, to give quasi-analytical formulas for the prices and hedging parameters of basket options. Numerical simulations show that the methodology provides superior results for basket option prices and hedging parameters. This methodology works well not only for regular baskets but also for negative-weight baskets and negative-value baskets. Compared with the best available methods, the authors’ methodology appears to perform better.

scholarly journals Pricing and Hedging Basket Options with Exact Moment Matching

2013 ◽  
Author(s):  
Tommaso Paletta ◽  
Arturo Leccadito ◽  
Radu Tunaru
Keyword(s):  
Moment Matching ◽  
Basket Options ◽  
Exact Moment

Approximated moment-matching dynamics for basket-options pricing

2004 ◽  
Vol 4 (1) ◽  
pp. 1-16 ◽  
Author(s):  
Damiano Brigo ◽  
Fabio Mercurio ◽  
Francesco Rapisarda ◽  
Rita Scotti
Keyword(s):  
Options Pricing ◽  
Moment Matching ◽  
Basket Options

scholarly journals Pricing and hedging basket options with exact moment matching

2016 ◽  
Vol 69 ◽  
pp. 59-69 ◽  
Author(s):  
Arturo Leccadito ◽  
Tommaso Paletta ◽  
Radu Tunaru
Keyword(s):  
Moment Matching ◽  
Basket Options ◽  
Exact Moment
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