Main category
Social Sciences (Economics)
Abstract
A pricing model for basket Asian relative performance options (RPO) is proposed by using Monte Carlo simulation. In a basket Asian RPO, payoff is determined by the difference between the performance of a reference stock and that of a basket of stocks, where performance is defined as the ratio of (weighted) average of two sets of averaging dates.
Further reading
https://ia903209.us.archive.org/22/items/asian-basket-rpo/AsianBasketRpo.pdf
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