Technical paper/Basket options
Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
The authors put forward a method for pricing European multi-asset options intended to address challenges related to the choice of damping parameters and the treatment of high dimensionality when designing methods for Fourier pricing options.
Deconstructing correlation
Peter Austing introduces an analytic or semi-analytic valuation of basket options
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Correlations in asynchronous markets
Correlations in asynchronous markets
Breaking correlation breaks
Breaking correlation breaks
What’s a basket worth?
Peter Laurence and Tai-Ho Wang take a significant step in the valuation of basket options with positive and fixed weights. These model all index options, price, cap or equal weighted. Departing from the usual Black-Scholes framework, the authors provide…
Asian basket spreads and other exotic averaging options
Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average…