Stochastic Expansion for the Pricing of Asian and Basket Options
Stochastic Expansion for the Pricing of Asian and Basket Options ArXiv ID: 2402.17684 “View on arXiv” Authors: Unknown Abstract We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model and are found to be highly accurate for Asian options in practice as well as for vanilla options with discrete dividends. ...