A basket option is an option whose underlying is a portfolio of individual stock prices. Due to the unknown dependence structure between stocks, basket option pricing relies in general on approximations or numerical methods like Monte Carlo simulation. We propose a methodology for pricing basket...

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...

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...

The price of an index option depends on the distributions of the marginals and the dependence structure. In this paper we assume that the stocks composing the index can be described by a multivariate Black & Scholes model, which is the most straightforward extension of the one-dimensional Black...

In this paper, we consider the problem of pricing equity index options (or basket options) in a multivariate Black & Scholes setting. Although this model suffers from some major drawbacks, it pays to consider the pricing of derivatives in the multivariate Black & Scholes model, because it is the...