2 papers
q-fin.PR2014
A Note on the Pricing of Basket Options Using Taylor Approximations
Pablo Olivares, Alexander Alvarez
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mix…
q-fin.PR2014
Pricing of Basket Options Using Polynomial Approximations
Pablo Olivares
In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the…