The MIIS Eprints Archive

Options on Baskets

Braun, Richard and Edwards, David A. and French, Donald and Larson, Dale and Mahar, Jason and Peterson, Todd and Schleiniger, Gilberto and Tourrucoo, Fabricio and Zhang, Shangyou (2000) Options on Baskets. [Study Group Report]

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Abstract

The aim is to devise fast, accurate methods to determine the value if options on baskets as well as the correct associated hedges. The method employed is a perturbation procedure based on a small volatility assumption.

Item Type:Study Group Report
Problem Sectors:Finance
Study Groups:US Workshop on Mathematical Problems in Industry > 16th MPI [Delaware 5/6/2000 - 9/6/2000]
Company Name:Numerix, Inc.
ID Code:258
Deposited By:Dr Kamel Bentahar
Deposited On:21 Oct 2009 19:36
Last Modified:21 Oct 2009 19:36

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