Published December 22, 2022
| Version v1
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Asian Basket Options with Individually Capped Returns
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Description
A model is presented for pricing Asian basket options with individually capped returns. Crude Monte Carlo method is employed to value the derivatives. Each asset return is capped with a rate. Volatility smile is utilized in the calculation.
Notes
https://ia904700.us.archive.org/14/items/bondAmericanOption/bondAmericanOption.pdf
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AsianBasket.pdf
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(115.0 kB)
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