collaborators

1 paper

q-fin.PR2026

Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing

Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck +1

Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper de…