In this paper we employ a one-factor Lévy model to determine basket option prices. More precisely, basket option prices are determined by replacing the distribution of the real basket with an appropriate approximation. For the approximate basket we determine the underlying characteristic...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date.The construction of these measures is based on the...

This paper contains an overview and an extension of the theory on comonotonicity-based model-free upper bounds and super-replicating strategies for stock index options, as presented in Hobson et al. (2005) and Chen et al. (2008). Whereas these authors only consider index call options, here a uni...