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Lower bound approximation of nonlinear basket option with jump-diffusion | ||
Journal of Mathematical Modeling | ||
دوره 9، شماره 1، فروردین 2021، صفحه 31-44 اصل مقاله (303.43 K) | ||
نوع مقاله: Research Article | ||
شناسه دیجیتال (DOI): 10.22124/jmm.2020.16126.1408 | ||
نویسندگان | ||
Yasser Taherinasab1؛ Ali Reza Soheili* 2؛ Mohammad Amini3 | ||
1Department of Applied Mathematics, Ferdowsi University of Mashhad, Mashhad, Iran | ||
2Department of applied mathematics Ferdowsi university of Mashhad Mashhad and The Center of Excellence on Modeling and Control Systems, Ferdowsi University of Mashhad, Iran | ||
3Department of Statistics, Ferdowsi University of Mashhad, Mashhad, Iran | ||
چکیده | ||
We extend the method presented by Xu and Zheng (Int. J. Theor. Appl. Finance 17 (2014) 21--36) for the general case. We develop a numerical-analytic formula for pricing nonlinear basket options with jump-diffusion model. We derive an easily computed method by using the asymptotic expansion to find the approximate value of the lower bound of nonlinear European basket call prices since a nonlinear basket option is generally not closed-form. We use Split Step Backward Euler and Compensated Split Step Backward Euler methods with Monte Carlo simulation to check the validity of the presented method. | ||
کلیدواژهها | ||
Basket option؛ nonlinear stochastic differential equations؛ Poisson process؛ Split Step Backward Euler method | ||
آمار تعداد مشاهده مقاله: 806 تعداد دریافت فایل اصل مقاله: 989 |