Pricing and hedging basket options with exact moment matching
Year of publication: |
July 2016
|
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Authors: | Leccadito, Arturo ; Paletta, Tommaso ; Tunaru, Radu |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 59-69
|
Subject: | Displaced log-normal jump-diffusion process | Hermite polynomials | Moment matching | Quasi-analytical pricing | Basket options | Optionspreistheorie | Option pricing theory | Hedging | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
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