eprintid: 258
rev_number: 14
eprint_status: archive
userid: 7
dir: disk0/00/00/02/58
datestamp: 2009-10-21 18:36:08
lastmod: 2015-05-29 19:52:19
status_changed: 2009-10-21 18:36:08
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Braun, Richard
creators_name: Edwards, David A.
creators_name: French, Donald
creators_name: Larson, Dale
creators_name: Mahar, Jason
creators_name: Peterson, Todd
creators_name: Schleiniger, Gilberto
creators_name: Tourrucoo, Fabricio
creators_name: Zhang, Shangyou
corp_creators: Pat Hagan
title: Options on Baskets
ispublished: pub
subjects: finance
studygroups: mpi16
companyname: Numerix, Inc.
full_text_status: public
abstract: The aim is to devise fast, accurate methods to determine the value if options on baskets as well as the correct associated hedges. The method employed is a perturbation procedure based on a small volatility assumption.
date: 2000
citation:   Braun, Richard and Edwards, David A. and French, Donald and Larson, Dale and Mahar, Jason and Peterson, Todd and Schleiniger, Gilberto and Tourrucoo, Fabricio and Zhang, Shangyou  (2000) Options on Baskets.  [Study Group Report]     
document_url: http://miis.maths.ox.ac.uk/miis/258/1/numerix00.pdf