The basket tag has no wiki summary.
1
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1answer
72 views
Greeks of Basket
I am considering a product composed of 10 underlying assets. The maturity is 5 year. Each year if the performance of the equi-weighted portfolio reach a barrier, it pays a coupon.
My question concern ...
2
votes
1answer
174 views
what is the implied volatility on a basket of options
If I have 4 optionable stocks A,B,C,D and each different implied volatilies,IV-A,IV-B,IV-C,IV-D. How do get the implied volatility for a basket option on A,B,C,D where the basket weights are w-A=.6, ...
4
votes
2answers
325 views
Basket option pricing: step by step tutorial for beginners
I would like to learn how to price options written on basket of several underlyings.
I've never tried to do it and I would appreciate if you can provide some documents, papers, web sites and so on in ...
4
votes
0answers
133 views
Taking into account the correlation in Barrier options on a Basket
In a Barrier option (where the contract cancels when the underlying hits the barrier) I succesfully found the way to compute the probability of a single underlying touching the barrier (with constant ...
11
votes
2answers
406 views
Can you replicate an option on an arbitrary basket of stocks?
Since a market index is nothing more than a basket of stocks, you can create your own index by putting together stocks of your choice. The only difference is that you can trade options on major ...
6
votes
2answers
809 views
Why does this Co-integrated basket look too good to be true?
You need quantmod & tseries in R to run this:
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