Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866908335683403776 |
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| author | Floc'h, Fabien Le |
| author_facet | Floc'h, Fabien Le |
| contents | We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. 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 and spread options in practice. Unlike other approaches, they do not require any numerical integration or root solving. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_16011 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions Floc'h, Fabien Le Pricing of Securities Mathematical Finance We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. 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 and spread options in practice. Unlike other approaches, they do not require any numerical integration or root solving. |
| title | Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions |
| topic | Pricing of Securities Mathematical Finance |
| url | https://arxiv.org/abs/2504.16011 |