英文标题：
《A Note on the Pricing of Basket Options Using Taylor Approximations》
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作者：
Pablo Olivares and Alexander Alvarez
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最新提交年份：
2014
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英文摘要：
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our numerical results show that a second order expansion provides accurate prices of spread options with low computational costs, even for out-of-the-money contracts.
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中文摘要：
本文基于泰勒展开和高斯分布混合指数幂矩的计算，提出了多元Black-Scholes模型下篮子期权价格的一种闭式近似。我们的数值结果表明，二阶展开式以较低的计算成本提供了价差期权的精确价格，即使是对于无价合约也是如此。
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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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