A comparison of three analytical approximations for basket option valuation
Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weak...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | English |
| Published: |
University of Cape Town
2016
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11427/18690 |