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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 weeks ago
    License:
    All-Rights-Granted
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