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Multi-assets real options [PDF]
, 2009 Real options present a wide topic in investment litterature nowadays. However, despite big advances in the single asset investment pricing, the theory is miser of informations about problems involving more than one asset. We show in this paper that using dynamic programming, one can find an analytic trigger for a three assets simple exchange problem ...
GAHUNGU, Joachim, SMEERS, Yves
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A computationally efficient numerical approach for multi-asset option pricing
International Journal of Computer Mathematics, 2018Numerical solution of the multi-dimensional partial differential equations arising in the modelling of option pricing is a challenging problem.
Leila Khodayari, Mojtaba Ranjbar
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A Multi-Asset Option Approximation for General Stochastic Processes [PDF]
SSRN Electronic Journal, 2014 We derived a model-free analytical approximation of the price of a multi-asset option defined over an arbitrary multivariate process, applying a semi-parametric expansion of the unknown risk-neutral density with the moments. The analytical expansion termed as the Multivariate Generalised Edgeworth Expansion (MGEE) is an infinite series over the ...
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Optimal Stopping, Multi-asset American/Bermudan Options
2018The main aim of this chapter is to present and analyze two methods for the pricing of multi-asset American – in practice Bermudan – options: the regression methods “a la Longstaff-Schwarz” and the quantization methods. The pricing of American options is a typical example of an optimal stopping problem.
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Using meshfree approximation for multi‐asset American options
Journal of the Chinese Institute of Engineers, 2004Abstract We study the applicability of meshfree approximation schemes for the solution of multi‐asset American option problems. In particular, we consider a penalty method which allows us to remove the free and moving boundary by adding a small and continuous penalty term to the Black‐Scholes equation.
Gregory Eric Fasshauer +2 more
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Multi‐asset barrier options and occupation time derivatives
Applied Mathematical Finance, 2003A general framework is formulated to price various forms of European style multi‐asset barrier options and occupation time derivatives with one state variable having the barrier feature. Based on the lognormal assumption of asset price processes, the splitting direction technique is developed for deriving the joint density functions of multi‐variate ...
Wong, Hoi Ying, Kwok, Yue Kuen
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Explicit Approximations of Multi-Asset Option Prices Including Greeks
SSRN Electronic Journal, 2011In this article we give a lower bound approximation to a stochastic program that is typical for many complex financial derivatives, e.g. Bermudan options, Rainbow options and swing contracts. The approximation is based on an algorithm that does not require any simulation but uses a well-known spread option pricing formula.
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Credit Value Adjustment for Multi-Asset Options
2014Electrical Engineering, Mathematics and Computer ...
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Bounding option pricing of multi-assets: a semidefinite programming approach
2005Summary: Recently, semidefinite programming has been used to bound the price of a single-asset European call option at a fixed time. Given the first \(n\) moments, a tight bound can be obtained by solving a single semidefinite programming problem of dimension \(n+1\).
Han, Deren +3 more
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