Density functions in high-dimensional basket options
arXiv:1309.4546
Abstract
We consider an important class of derivative contracts written on multiple assets (so-called spread options) which are traded on a wide range of financial markets. The present paper introduces a new approximation method of density functions arising in high-dimensional basket options which is based on applications of generalised Nyquist-Whitakker-Kotel'nikov-Shannon theorem we established. It is shown that the method of approximation we propose has an exponential rate of convergence in various situations.