3 citations · 3 across the 10 of their papers we have counts for
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q-fin.PR2014★ 3 cited
Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models
Pablo Olivares, Matthew Cane
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll…
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…