Pricing and Hedging Asian Basket Spread Options

Griselda Deelstra, Alexandre Petkovic and Michèle Vanmaele

No 2008_004, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency.

Pages: 26 p.
Date: 2008
New Economics Papers: this item is included in nep-fmk and nep-sea
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Citations: View citations in EconPapers (1)

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