Multi-asset Options

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
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Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 8 in Computational Methods for Quantitative Finance, 2013, pp 91-103 from Springer

Abstract: Abstract In Chap. 6 , we considered exotic options written on a single underlying. Further examples of exotic options are given by the so-called multi-asset options. These are options derived from d≥2 underlying risky assets, whose price movement can be described by a system of SDEs. The pricing functions of multi-asset options are multivariate functions satisfying a parabolic partial differential equation in d dimensions, together with an appropriate terminal value depending on the type of the option. We distinguish between different types of European multi-asset options. We distinguish between different types of multi-asset options like basket, rainbow or quanto options.

Keywords: Option Price; Risky Asset; Sparse Grid; Domestic Currency; Finite Element Space (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_8

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DOI: 10.1007/978-3-642-35401-4_8

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