scholarly journals Pricing Basket Options by Polynomial Approximations

2019 ◽  
Author(s):  
Pablo Olivares
Keyword(s):  
Basket Options ◽  
Polynomial Approximations

scholarly journals Pricing of basket options using univariate normal inverse Gaussian approximations

2010 ◽  
Vol 30 (3) ◽  
pp. 355-376 ◽  
Author(s):  
Fred Espen Benth ◽  
Pål Nicolai Henriksen
Keyword(s):  
Inverse Gaussian ◽  
Basket Options ◽  
Normal Inverse Gaussian

Verifying Tolerant Systems Using Polynomial Approximations

2009 ◽  
Author(s):  
Pavithra Prabhakar ◽  
Vladimeros Vladimerou ◽  
Mahesh Viswanathan ◽  
Geir E. Dullerud
Keyword(s):  
Polynomial Approximations

scholarly journals Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1498
Author(s):  
Karel J. in’t Hout ◽  
Jacob Snoeijer
Keyword(s):  
Principal Component Analysis ◽  
Numerical Experiments ◽  
Complementarity Problems ◽  
Principal Component ◽  
Partial Differential ◽  
Basket Options ◽  
Basket Option ◽  
Option Values ◽  
Convergence Behaviour ◽  
Low Dimensional

We study the principal component analysis based approach introduced by Reisinger and Wittum (2007) and the comonotonic approach considered by Hanbali and Linders (2019) for the approximation of American basket option values via multidimensional partial differential complementarity problems (PDCPs). Both approximation approaches require the solution of just a limited number of low-dimensional PDCPs. It is demonstrated by ample numerical experiments that they define approximations that lie close to each other. Next, an efficient discretisation of the pertinent PDCPs is presented that leads to a favourable convergence behaviour.

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