英文标题：
《Pricing and Hedging Basket Options with Exact Moment Matching》
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作者：
Tommaso Paletta, Arturo Leccadito, Radu Tunaru
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最新提交年份：
2013
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英文摘要：
Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price basket options when assets follow a shifted log-normal process with jumps capable of accommodating negative skewness. Our technique is based on the Hermite polynomial expansion that can match exactly the first m moments of the model implied-probability distribution. This method is shown to provide superior results for basket options not only with respect to pricing but also for hedging.
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中文摘要：
应用于期权定价的理论模型应考虑基础金融时间序列的经验特征。在本文中，我们展示了当资产遵循转移对数正态过程，且跳跃能够适应负偏度时，如何对篮子期权进行定价。我们的技术基于Hermite多项式展开，它可以精确匹配模型隐含概率分布的前m个矩。该方法不仅在定价方面，而且在套期保值方面，为一揽子期权提供了优越的结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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