Pricing and Risk Management of Multi-Assets Financial Instruments to Natural Disasters

JJ Chang, PH Huang, TP Wu - 2024 - Taylor & Francis
ABSTRACT COVID-19 not only led to a significant loss of human lives but also brought
indelible economic loss. To transfer the natural disaster risk, a variety of financial …

Pricing basket options with the first three moments of the basket: log-normal models and beyond

D Hu, H Sayit, F Viens - arXiv preprint arXiv:2302.08041, 2023 - arxiv.org
Options on baskets (linear combinations) of assets are notoriously challenging to price using
even the simplest log-normal continuous-time stochastic models for the individual assets …

A generalized Bachelier formula for pricing basket and spread options

F Fringuellotti, C Necula - Available at SSRN 2698307, 2021 - papers.ssrn.com
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 …