Exchange, Basket and Other Multi-Asset Options - Maple Application Center
Application Center Applications Exchange, Basket and Other Multi-Asset Options

Exchange, Basket and Other Multi-Asset Options

: Igor Hlivka
Engineering software solutions from Maplesoft
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This application demonstration reviews several classes of multi-asset options and as such extends the concept on multi-variability in Finance presented / discussed in other applications. Multi-variability is important concept in financial engineering as many non-standard structured products in the market are exposed to multiple source of randomness. Multi-variability is not trivial in terms of handling multiple dependencies, however suitable change of martingale measure and dimension-reduction techniques can help simplifying the multi-variable process into more manageable routines. Although multi-dependency in many instances requires numerical processing, we will show that with Maple we can do better. Our aim is to devise an analytical solution to this problem and will show how Maple's symbolic engine can efficiently cope with this task.

Application Details

Publish Date: September 23, 2008
Created In: Maple 12
Language: English



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