Basket option pricing with the algorithms of piecewise lognormal interpolation

@article{Yu2012BasketOP,
  title={Basket option pricing with the algorithms of piecewise lognormal interpolation},
  author={Xing Yu},
  journal={2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering},
  year={2012},
  pages={179-182}
}
  • Xing Yu
  • Published 2012 in
    2012 2nd International Conference on Uncertainty…
A basket option is an option on a portfolio of multiple risky assets. There is no analytical solution for basket option pricing, because the payoff of a basket option is determined by the weighted average of the prices of the multiple underlying assets. This study presents an approximation approach for valuing basket options by the algorithms of piecewise… CONTINUE READING