This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin t...This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin transform. We show that by the decomposition of the integral equation for the price of American basket put option, the integral equation for the price of European basket put option can be obtained directly.展开更多
The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic pr...The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming(MSSP). The authors note particularly the novel consideration and signi?cant bene?t of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.展开更多
文摘This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin transform. We show that by the decomposition of the integral equation for the price of American basket put option, the integral equation for the price of European basket put option can be obtained directly.
基金Project supported by the National Natural Science Foundation of China(11071184)the National Natural Science Foundation of Shanxi Province of China(2012011015-6)
基金the National Natural Science Foundation of the People’s Republic of China with financially funding under Grant Nos.71401193 and 71371022
文摘The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming(MSSP). The authors note particularly the novel consideration and signi?cant bene?t of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.
