# An analysis of pricing methods for baskets options

@article{Krekel2004AnAO, title={An analysis of pricing methods for baskets options}, author={Martin Krekel and Johan De Kock and Ralf Korn and Tin-Kwai Man}, journal={Wilmott}, year={2004}, volume={2004}, pages={82-89} }

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…

## 39 Citations

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We consider the pricing of American-type basket derivatives by numerically solving a partial differential equation (PDE). The curse of dimensionality inherent in basket derivative pricing is…

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In this paper, we propose a methodology for pricing basket options in the multivariate Variance Gamma model introduced in Luciano and Schoutens [Quant. Finance 6(5), 385–402]. The stock prices…

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This work proposes to use the inherent smoothing property of the density of the underlying in the Black–Scholes or Variance-Gamma models to mollify the payoff function by means of an exact conditional expectation, which yields a smooth integrand.

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