On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

Keyphrases

• Approximation Methods 100%
• Mean-reverting 100%
• Basket Options 100%
• Technical Problems 33%
• Option Pricing 33%
• Monte Carlo Simulation 33%
• Numerical Examples 33%
• Computational Efficiency 33%
• Computationally Efficient 33%
• Computational Accuracy 33%
• Traditional Techniques 33%
• Approximation Approach 33%
• Risk Management 33%
• Multiple Assets 33%
• Energy Industry 33%
• Energy Commodity Markets 33%
• Finance Industry 33%
• Computation Energy 33%
• Computational Finance 33%
• Industry Risk 33%

Economics, Econometrics and Finance

• Price 100%
• Risk Management 50%
• Monte Carlo Simulation 50%
• Commodity Market 50%
• Energy Industry 50%
• Finance 50%
• Pricing 50%