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arXiv · 2504.16011

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions

Fabien Le Floc'h
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Abstract

We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model and are found to be highly accurate for Asian and spread options in practice. Unlike other approaches, they do not require any numerical integration or root solving.

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BibTeXRIS

Fabien Le Floc'h. 2025-04-22. Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions. https://arxiv.org/abs/2504.16011

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