Equation: Basket option

Basket option

created by:

Thijs van den Berg (http://www.sitmo.com)

Basket options are vanilla options with a basket of assets as the underlying contract.

	Value of the basket call option at expiration
	Value of the basket put option at expiration
K	Strike (excercise) price
	The value of the first asset at expiration
	The value of the n-th asset at expiration
n	Number of assets in the basket

Related Equations
Asian option (fixed strike) »
Asian option (floating strike) »
Asymmetric Power Option »
Barrier options »
Binary (digital) asset-or-nothing option »
Binary (digital) cash-or-nothing option »
Binary (digital) gap option »
Chooser option, complex »
Chooser option, simple »
Double Barrier option »
Double Binary (digital) cash-or-nothing option »
Dual Strike option »
Exchange option »
Extendible option, holder »
Extendible option, writer »
Forward start option »
General Power Option »
Lookback option, fixed strike »
Lookback option, floating strike »
Option on a Option (compound) »
Parabola Option »
Power option »
Product option »
Quanto option »
Quotient option »
Rainbow option »
Range option »
Spread option »
Symmetric Power Option »
Two asset correlation option »
Vanilla option »
Main Equations Index »

All text and equations on this page are freely available under the terms of the GNU Free Documentation License


Word	Pdf	LaTeX

equation image:
.gif image