Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options

8 May 2018 Jaehyuk Choi

Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the basket, spread, and Asian options. The option price is expressed as a quadrature integration of analytic multi-asset BSM prices under a single Brownian motion... (read more)

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