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Numerical methods for pricing basket options
Iancu, Aniela Karina

2004, Doctor of Philosophy, Ohio State University, Mathematics.
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.
Bostwick Wyman (Advisor)
81 p.

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Iancu, A. (2004). Numerical methods for pricing basket options. (Electronic Thesis or Dissertation). Retrieved from https://etd.ohiolink.edu/

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Iancu, Aniela. "Numerical methods for pricing basket options." Electronic Thesis or Dissertation. Ohio State University, 2004. OhioLINK Electronic Theses and Dissertations Center. 25 Sep 2017.

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Iancu, Aniela "Numerical methods for pricing basket options." Electronic Thesis or Dissertation. Ohio State University, 2004. https://etd.ohiolink.edu/

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