2 papers
q-fin.PR2012
Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models
Guoping Xu, Harry Zheng
In this paper we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion model. We apply the asymptotic expansion method to fin…
q-fin.CP2010
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Guoping Xu, Harry Zheng
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with syste…