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Journal of Applied Mathematics
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Journal of Applied Mathematics
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2016
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Article
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Tab 1
/
Research Article
Pricing Basket Options by Polynomial Approximations
Table 1
Spread prices for the benchmark parameters and several values of
, using Monte Carlo, a Taylor second-order approximation around
, and a Chebyshev approximation with 15 terms,
and
.
Correlation
Monte Carlo
Taylor second approx.
Chebyshev,
14.2921
13.8709
14.2906
13.56278
14.78882
13.5649
14.9734
15.0065
14.9629
12.8085
12.7901
12.7903
15.6273
15.9238
15.6316
11.9525
11.9646
11.9566
16.2421
17.5217
16.2521
11.0315
11.1947
11.0529