英文标题：
《Pricing of basket options I》
---
作者：
Alexander Kushpel
---
最新提交年份：
2014
---
英文摘要：
  Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\\\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a transparent and intuitively easily acceptable concept. In our case this is a linear system of stochastic equations. Our market model is based on the principle of inheritance, i.e. for the particular choice of parameters it coincides with known models. Also, the model proposed is effectively numerically realizable. For the class of models under cosideration, we give an explicit representations of characteristic functions. This allows us us to construct a sequence of approximation formulas to price basket options. We show that our approximation formulas have almost optimal rate of convergence in the sense of respective n-widths.
---
中文摘要：
高维期权的定价是理论金融数学的一个深层次问题。在本文中，我们提出了一类新的L\\{e}vy驱动的股票市场模型。我们认为，任何市场模式都应该基于一个透明的、直观的、易于接受的概念。在我们的例子中，这是一个随机方程的线性系统。我们的市场模型基于继承原则，即对于特定的参数选择，它与已知模型一致。此外，所提出的模型是有效的数值实现。对于这类模型，我们给出了特征函数的显式表示。这使我们能够构造一系列近似公式来为篮子期权定价。我们证明了我们的近似公式在各自的n-宽度意义下具有几乎最优的收敛速度。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--

---
PDF下载：
-->