讲座题目: Pricing of Basket Options by Conditioning and Moment Matching

讲座摘要: The valuation of basket options remains a challenging task, even under the standard Black-Scholes framework, due to the unknown distribution of the sum of log-normal variables. In this talk, we represent the price of a basket option as the sum of an exact analytical component and an approximate component, using a conditional variable. The first part is computed by conditioning on the price process of one of the underlying assets, while the second part is obtained via a moment-matching approach. To evaluate the approximate component, we introduce a new single random variable with a known analytical distribution to approximate the sum of log-normal variables, leading to a closed-form pricing formula. Additionally, we derive a new upper bound for basket option prices. Our method can be viewed as a combination of conditioning and moment-matching techniques. Numerical studies demonstrated that our formula is more accurate in handling both homogeneous and heterogeneous lognormal random variable cases.

讲座时间：2025年4月17日（周四）上午10:30

讲座地点：线下举办（综合大楼-806）

嘉宾简介：吴平博士，加拿大蒙特利尔银行总行市场风险模型部总监，加拿大约克大学数学和统计学院兼职教授、博导。他参与的市场风险研发项目包括 Fundamental Review of Trading Book (FRTB)、Value at Risk and Stress Value at Risk（VaR/SVar）。2003年毕业于加拿大麦克马斯特大学，获得了金融数学专业博士学位。2003年至2008年，分别在蒙特利尔银行和加拿大皇家银行资本市场部工作，担任前台交易量化分析师。之后，在蒙特利尔银行模型风险评价部门工作十年，领导的研究团队负责该行所有复杂金融衍生产品的风险评估和风险控制，包括利率 、信用、股票/股权、商品、外汇和固定收益产品的模型。