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- W4254234021 abstract "We propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model. The method is based on Taylor and Chebyshev expansions and involves mixed exponential-power moments of a Gaussian distribution. Our numerical results show that both approaches are comparable in accuracy to a standard Monte Carlo method, with a lesser computational effort" @default.
- W4254234021 created "2022-05-12" @default.
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- W4254234021 date "2021-05-21" @default.
- W4254234021 modified "2023-09-27" @default.
- W4254234021 title "Pricing Basket Options by Polynomial Approximations" @default.
- W4254234021 doi "https://doi.org/10.32920/14636439" @default.
- W4254234021 hasPublicationYear "2021" @default.
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