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Basket Option Valuation
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- basket option, basket option pricing, option pricing
- Permanent URL:
- http://dx.doi.org/10.17613/b7tk-3g65
- Abstract:
- A basket option can be used to hedge the risk exposure to or speculate the market move on the underlying stock basket. Because it involves just one transaction, a basket option often costs less than multiple single options. The most important feature of a basket option is its ability to efficiently hedge risk on multiple assets at the same time. Rather than hedging each individual asset, the investor can manage risk for the basket, or portfolio, in one transaction. The benefits of a single transaction can be great, especially when avoiding the costs associated with hedging each and every component of the basket or portfolio.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
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