relation: http://miis.maths.ox.ac.uk/miis/258/
title: Options on Baskets
creator: Braun, Richard
creator: Edwards, David A.
creator: French, Donald
creator: Larson, Dale
creator: Mahar, Jason
creator: Peterson, Todd
creator: Schleiniger, Gilberto
creator: Tourrucoo, Fabricio
creator: Zhang, Shangyou
subject: Finance
description: 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
type: Study Group Report
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://miis.maths.ox.ac.uk/miis/258/1/numerix00.pdf
identifier:   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]