Combinatorial and price efficient optimization of the underlying assets in basket options
The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed...
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| Format: | Others |
| Language: | English |
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KTH, Optimeringslära och systemteori
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-204861 |