Asymptotics for at the money local vol basket options
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1855 | |
| dc.contributor.author | Bayer, Christian | |
| dc.contributor.author | Laurence, Peter | |
| dc.date.accessioned | 2016-03-24T17:37:46Z | |
| dc.date.available | 2019-06-28T08:20:56Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | We consider a basket or spread option on based on a multi-dimensional local volatility model. Bayer and Laurence [Comm. Pure. Appl. Math., to appear] derived highly accurate analytic formulas for prices and implied volatilities of such options when the options are not at the money. We now extend these results to the ATM case. Moreover, we also derive similar formulas for the local volatility of the basket. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2051 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3270 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Basket options | eng |
| dc.subject.other | spread options | eng |
| dc.subject.other | implied volatility | eng |
| dc.subject.other | asymptotic formulas | eng |
| dc.subject.other | heat kernel expansion | eng |
| dc.title | Asymptotics for at the money local vol basket options | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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