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Quantitative Finance · Glossaire

Qu'est-ce que « Basket option » ?

Definition 17.1 Derivatives and Volatility · Chapitre 17 — Multi-Asset Options

A basket option is an option on a weighted sum of assets, typically of their performances: (∑iwiSi,T/Si,0−K)+\bigl(\sum_iw_iS_{i,T}/S_{i,0}-K\bigr)^+ for a call.

Three shares with volatilities of 25%, 30% and 35%, one year, zero rates, equal pairwise correlation. Left: worst-of puts and best-of calls lose value as correlation rises and basket calls gain. Right: the probability that all three end above 70% of their start, the note’s coupon condition. Data: the tutorial.
Figure 17.1. Three shares with volatilities of 25%, 30% and 35%, one year, zero rates, equal pairwise correlation. Left: worst-of puts and best-of calls lose value as correlation rises and basket calls gain. Right: the probability that all three end above 70% of their start, the note’s coupon condition. Data: the tutorial.
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