Pricing Basket Spread Option Under the Correlated Skew Brownian Motions
Sign Up to like & getrecommendations! Published in 2025 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.70040
Abstract: In this article, we propose synthetic analytical approximate pricing formulas for basket and basket spread options within a multidimensional correlated skew Brownian motion framework. For basket options, we derive two analytical approximate pricing formulas by… read more here.
Keywords: skew brownian; basket spread; basket; correlated skew ... See more keywords