English, Article edition: Computational Efficiency and Accuracy in the Valuation of Basket Options Pengguo Wang

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/47353
Physical Description
  • article
Language
  • English

Edition details

Title
  • Computational Efficiency and Accuracy in the Valuation of Basket Options
Author
  • Pengguo Wang
Physical Description
  • article
Notes
  • The complexity involved in the pricing of American style basket options requires careful consideration of both computational efficiency and accuracy. The conventional assumption of lognormal distribution for the value of a basket is the key for the trade-off. This paper examines the mispricing errors of Bermudan basket options based on the assumption. The mispricing error is measured by the price differences between the price resulting from the assumption of lognormal distribution and the "true" option price. The "true" option prices are obtained from simulation based on procedure described in Longstaff and Schwartz (2001). The effects on the maturities, the volatilities, the correlations, the dividend payments for the underlying assets, number of underlying assets in the basket and the "moneyness" on mispricing are addressed.
  • Basket option, Bermudan option, mispricing, lognormal, simulation
  • RePEc:ffe:journl:v:6:y:2009:i:1:p:1-25
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment