Numerical methods for pricing basket options

Title:	Numerical methods for pricing basket options
Author:	Iancu, Aniela Karina
Description:	Most of the time, when pricing financial instruments, it is impossible to find closed form solutions for their values. Finding numerical solutions for the governing pricing equations becomes therefore an appealing approach to pricing, especially since powerful desktop computers are now available. In this paper we demonstrate how two of the main numerical methods known today—the finite differences method and the Monte Carlo simulation — can be used for pricing discretely measured lookback basket options. We also take a look at one of the most competitive markets today, The Individual Variable Annuity marketplace, at some of the currently sold death benefits and how they are related to the lookback put options.
Permanent Link:	http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809 http://hdl.handle.net/2374.OX/5057
Date:	2004

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