Pricing Basket Options via Eigenvalue-Conditioned Fourier Expansion
Unreviewed draft. This paper has not been human-reviewed.
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Summary
Pricing basket options (options on a weighted sum of assets) is computationally demanding due to the lack of a closed-form distribution for the underlying sum. We apply the Spectral Fenton Representation [Nagy 2026a] to derive a semi-analytic pricing formula for European basket calls and puts.
Length
300 words
Status
Outline
Target
Journal of Computational Finance