An analysis of pricing methods for baskets options

@inproceedings{Krekel2004AnAO,
  title={An analysis of pricing methods for baskets options},
  author={Martin Krekel and J. M. de Kock and Ralf Korn and T. R. Co Man},
  year={2004}
}
The forward-oriented notation has two advantages: Firstly, in opposite to short rates and dividend yields, forward prices and discount factors are market-quotes. Secondly, from a computational point of view, it is less costly to work with single numbers, i.e. the forward prices and the discount factor, instead of several term-structures, namely the short rates and the dividend yields. The problem of pricing the above basket options in the Black-Scholes Model is the following: The stock prices… CONTINUE READING

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Using semi-infinite optimisation to calculate price bounds for basket options

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