Wu, Yang-Che; Liao, Szu-Lang; Shyu, So-De - In: Insurance: Mathematics and Economics 44 (2009) 1, pp. 95-102
This paper uses a multivariate normal inverse Gaussian model to develop closed-form pricing formulas for both geometric and arithmetic basket options. For geometric basket options, an exact analytical solution is possible; for arithmetic basket options, the formula is an approximation. The model...