Bae, Kwangil; Kang, Jangkoo; Hwa‐Sung Kim - In: Journal of Futures Markets 31 (2011) 9, pp. 830-854
This study derives approximate valuation formulas for basket options and Asian options under the jump‐diffusion process. To obtain an approximation for options prices under the jump‐diffusion process, we extend the Taylor expansion method developed by Ju N. (<link href="#bib18">2002</link>) under the diffusion...