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Closed-form approximations for basket option pricing under normal tempered stable Lévy model

Dongdong Hu, Hasanjan Sayit, Jing Yao, Qifeng Zhong
Year of publication:
2024
Authors: Hu, Dongdong ; Sayit, Hasanjan ; Yao, Jing ; Zhong, Qifeng
Subject: Basket option | Spread option | Option pricing | Closed-form approximation | Normal tempered stable Lévy model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading
freely available
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