A generalized Bachelier formula for pricing basket and spread options


In this paper we propose a closed-form pricing formula for European basket and spread options. Our approach is based on approximating the risk-neutral probability density function of the terminal value of the basket using a... [ view full abstract ]


  1. Fulvia Fringuellotti (University of Zurich)
  2. Ciprian Necula (University of Zurich)

Topic Areas

Options , Simulation


WE-P-B2 » Asset Pricing (14:30 - Wednesday, 18th July, Beckett 2)

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