Pricing basket options has always been one of the key problems in financial engineering
because of high dimensionality and low convergence rate. This paper proposes a hybrid …

This paper proposes two-step static hedging strategies for European basket options by
using only plain-vanilla options on a subset of underlying assets. The basic idea is …

The emergence of Lévy processes in the finance literature is due to empirical observations
finding that the distribution of equity returns is in general skewed and leptokurtotic. One of …

Zusammenfassung Eine Option stellt einen Vertrag zwischen zwei Parteien dar, der ihrem
Halter das Recht, aber nicht die Verpflichtung, gibt, zu einem bestimmten Zeitpunkt eine …

In this paper we derive a lower bound for the price of a European basket option under the
Black and Scholes framework. The bound is based on the conditioning method of [LCG …

We present an application of importance sampling to multi-asset options under the Heston
and the Bates models as well as to the Heston-Hull-White and the Heston-Cox-Ingersoll …

This thesis concerns the numerical and empirical aspects of derivative pricing. The first part
of the thesis focuses on improving the efficiency of Monte Carlo estimators through …

We present various methods of pricing Asian options. The methods include Monte Carlo
simulations designed using control and antithetic variates, numerical solution of partial …

In this article, we make the design of a basket option on commodity prices with stochastic
convenience yields, exchange rates and zero-coupon bonds. We carry out Monte Carlo …

This thesis deals with applications of Lévy processes in the field of mathematical finance.
The class of Lévy processes generalizes the widely used Brownian motion in the sense that …