Dionne, Georges; Gauthier, Genevieve; Ouertani, Nadia; … - In: Multinational Finance Journal 15 (2011) 1-2, pp. 47-85
This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. The performance of three moment matching approximations is examined: inverse gamma, Edgeworth expansion around the lognormal and...