Calculation Aspects of the European Rebalanced Basket Option using Monte Carlo Methods: Valuation
Extra premiums can be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced on a regular basis back to fixed proportions. The valuation of this premium can be changed to that of the pricing of a European put option with underlying rebalanced portfolio. T...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Operations Research Society of South Africa (ORSSA)
2012-06-01
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| Series: | ORiON |
| Online Access: | http://orion.journals.ac.za/pub/article/view/104 |