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Pricing multi-asset barrier options
2017 IEEE 56th Annual Conference on Decision and Control (CDC), 2017We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty for the estimates is that we combine ideas of convex analysis with tools of stochastic theory. The common aspect of all options herein is that the associated multivariate barriers are generated by ...
Estevao Rosalino +2 more
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Stabilized explicit Runge–Kutta methods for multi-asset American options
Computers and Mathematics With Applications, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jesús Martín-Vaquero, A Q M Khaliq
exaly +3 more sources
Management Science, 2023 We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in that we only assume the knowledge of traded prices for other single- and multi-asset derivatives and even ...
Ariel David Neufeld +2 more
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A Penalty Method for American Multi-Asset Option Problems
Lobachevskii Journal of Mathematics, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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2013
In Chap. 6, we considered exotic options written on a single underlying. Further examples of exotic options are given by the so-called multi-asset options. These are options derived from d≥2 underlying risky assets, whose price movement can be described by a system of SDEs.
Norbert Hilber +3 more
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In Chap. 6, we considered exotic options written on a single underlying. Further examples of exotic options are given by the so-called multi-asset options. These are options derived from d≥2 underlying risky assets, whose price movement can be described by a system of SDEs.
Norbert Hilber +3 more
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ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2015 For an efficient computation of the counterparty credit exposure profiles of the multi-asset options, a simulation-based method, named the Stochastic Grid Bundling Method (SGBM), is applied. The method is based on a 'regression later' technique used for the conditional expectation approximation and a bundling (or 'binning') technique used for state ...
YANBIN SHEN +2 more
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An efficient numerical method for the valuation of American multi-asset options
Computational and Applied Mathematics, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qi Zhang +3 more
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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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