英文标题：
《Pricing of Basket Options Using Polynomial Approximations》
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作者：
Pablo Olivares
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最新提交年份：
2014
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英文摘要：
  In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning on the remaining underlying assets and calculating the mixed exponential-power moments of a Gaussian distribution that arise as a consequence of such approximation. Our numerical implementation on spread contracts shows the method is as accurate as a standard Monte Carlo approach at considerable lesser computational effort.
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中文摘要：
本文在二元Black-Scholes模型下，利用Bernstein多项式和Chebyshev多项式来逼近一些篮子期权的价格。该方法包括在对剩余标的资产进行条件调整后，扩展单变量相关合同的价格，并计算高斯分布的混合指数幂矩，该混合指数幂矩是这种近似的结果。我们在价差合约上的数值实现表明，该方法与标准蒙特卡罗方法一样精确，计算量相当小。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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