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• W3121948161 abstract "This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. The performance of three moment matching approximations is examined: inverse gamma, Edgeworth expansion around the lognormal and Johnson family distributions. Since there is no closed-form formula for basket options, Monte Carlo simulations are carried out to generate the benchmark values. A simulation experiment on a set of options based on a random choice of parameters is performed. The results show that the Edgeworth-lognormal and Johnson distributions give the most accurate results." @default.
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• W3121948161 date "2011-06-01" @default.
• W3121948161 modified "2023-10-14" @default.
• W3121948161 title "Heterogeneous Basket Options Pricing Using Analytical Approximations" @default.
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• W3121948161 doi "https://doi.org/10.17578/15-1/2-2" @default.
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