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Quantitative Finance Volume 19, 2019 - Issue 10
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Research Papers

American-type basket option pricing: a simple two-dimensional partial differential equation

Hamza HanbaliDepartment of Accountancy, Finance and Insurance, KU, Naamsestraat 69, Leuven3000, BelgiumCorrespondence[email protected]
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Daniel LindersDepartment of Mathematics, University of Illinois, Urbana, IL, USAView further author information
Pages 1689-1704 | Received 13 Apr 2018, Accepted 22 Feb 2019, Published online: 12 Apr 2019

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Hamza Hanbali, Daniël Linders & Jan Dhaene. (2023) Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables. Scandinavian Actuarial Journal 2023:3, pages 219-243.
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Articles from other publishers (6)

Elettra Agliardi & Rossella Agliardi. (2023) Pricing Multidimensional American Options. International Journal of Financial Studies 11:1, pages 51.
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Magnus Carlehed. (2023) A Model for Risk Adjustment (IFRS 17) for Surrender Risk in Life Insurance. Risks 11:3, pages 62.
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Tadahiro Nakajima & Shigeyuki HamoriTadahiro Nakajima & Shigeyuki Hamori. 2022. Energy Trading and Risk Management. Energy Trading and Risk Management 123 130 .
Zihao Li, Ji Luo & Jing Yao. (2021) Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences. Journal of Computational and Applied Mathematics 391, pages 113459.
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Karel J. in’t Hout & Jacob Snoeijer. (2021) Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems. Mathematics 9:13, pages 1498.
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Rong Gao & Xiaofang Yin. (2021) American Basket Option Pricing Formulas in Uncertain Environment. Journal of Uncertain Systems 14:02, pages 2150011.
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