A closed-form approximation for valuing basket options

Journal of Derivatives

Volumn 5, Issue 4, 1998, Pages 54-61

  Milevsky, Moshe Arye ^a   Posner, Steven E ^b  

^a YORK UNIVERSITY   (Canada)

^b ING Baring Furman Selz LLC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011222492     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1998.408005     Document Type: Article

References (12)

1. Baubonis, Charles, Gary Gastineau, and David Purcell. "The Banker's Guide to Equity-Linked Certificates of Deposit. "Journal of Derivatives, Vol. 1, 2 (1993), pp. 87-95.
2. Breiman, Leo. Probability. Philadelphia: Society for Industrial and Applied Mathematics, 1993.
3. Cox, John, and Stephen Ross. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics. Vol. 3 (1976), pp. 145-166.
4. Gentle, David. "Basket Weaving." RISK, June 1993, pp. 51-52.
5. Grannis, Scott. "An Idea Whose Time Has Come." RISK, September 1989.
6. Hull, John C. Options Futures and Other Derivatives 3rd ed. Englewood Cliffs NJ: Prentice-Hall, 1997.
7. Hull, John C, and Alan White. "Efficient Procedures for Valuing European and American Path-Dependent Options." Journal of Derivatives. Vol. 1 (1993), pp. 21-31.
8. Huynh, Chi Ban. "Back to Baskets." RISK, May 1994, pp. 59-61.
9. Joy, Corwin, Phelim P. Boyle, and Ken Seng Tang. "Quasi-Monte Carlo Methods in Numerical Finance." Manavement Science. Vol. 42 (1996), pp. 926-938.
10. Lyden, Scott. "Reference Check: A Bibliography of Exotic Options Models." Journal of Derivatives, Vol. 4, 1 (1996), pp. 79-91.
11. Milevsky, Moshe A., and Steven E. Posner. "Asian Options, the Sum of Lognormals and the Reciprocal Gamma Distribution." Journal of Financial and Quantitative Analysis, September 1998.
12. Rubinstein, Mark. "Return to Oz." RISK, November 1994.