Approximation of Basket Call Option Price

• Autorzy: Ewa Dziawgo
• Języki publikacji: EN

Abstrakty

EN

The aim of the paper is to present the approximation methods of the basket call option price. This article presents pricing of the basket call option on USD, EUR and GBP. In the article a tree-month basket call options was priced. Based on the selected basket call options the analysis of the basket options price and the average price of the standard options was carried out.(fragment of text)

Słowa kluczowe

EN

Exotic options; Approximation; Call options; Price analysis; Pricing models

PL

Opcje egzotyczne; Aproksymacja; Opcja kupna; Analiza cen; Modele wyceny

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 195--201

Twórcy

autor

Ewa Dziawgo

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

• Hull, C. J. (1997), Options, Futures and Other Derivatives, Prentice-Hall International, Inc.
• Musiela, M., Rutkowski, M. (1998), Martingale Methods in Financial Modelling, Springer-Verlag, Berlin.
• Neftci, S. N. (1996), An Introduction to the Mathematics of Financial Derivatives, Academic Press, San Diego.
• Weron, A., Weron, R. (1998), Inżynieria finansowa (Financial engineering), Wydawnictwo Naukowo-Techniczne, Warszawa.