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Found 4 papers, 0 papers with code
Pricing basket options with the first three moments of the basket: log-normal models and beyond
Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets.
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
In this note, we give approximate closed form expressions for VaR and CVaR of portfolios of returns with NMVM distributions.
A note on closed-form spread option valuation under log-normal models
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models.
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models.
