European Options on arithmetic baskets

Table 10.13: Implied Black-Scholes volatilities of the closed formula, of the approximation formula and related errors (in bp), expressed as a function of maturities in fractions

See Kau and Slawson (2002) for one of the latest version of these models. The purpose of what follows is to present the standard no-arbitrage argument producing the

A crucial step in the proof is to exploit the affine structure of the model in order to establish explicit formulas and convergence results for the conditional Fourier-Laplace

Then, constructing some “good” marginal quantization of the price process based on the solution of the previous ODE’s, we show how to estimate the premium of barrier options from

Instead, we develop the enhanced versions of the Fast Wiener-Hopf factorization algorithm (see Kudryavtsev and Levendorskiˇi (2009)) which are applicable to pricing barrier

We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of

At this stage, we are able to compute the Laplace transforms of the prices of all the different Parisian options, we only need a method to accurately invert them.. In Section 7,

Using the results of Bessel flow regularity in [3], we study in section 2 the regularity of the CIR flow related to the SDEs (7) and (8) then the volatility regularity with respect to