[R-SIG-Finance] American basket options

[Krishna Kumar]

I am just curious as to if this is being traded in some market ?.

This is probably not very helpful but I don't think a European style 
basket is there in the existing packages. European style baskets are 
themselves tricky if you want to get the basket smile right etc. 
American style baskets will be messy.

Cheers
Krishna




Moshe Olshansky wrote:
> Hello,
>
> Is there any R code which allows to calculate the
> price of an American basket option (option on a price
> of a portfolio)? 
> If yes, are there any references to how accurate these
> calculations are? 
> If no, can anybody recommend a relatively easy to use
> software doing this?
>
> Are there any non Monte Carlo methods to compute (even
> roughly) the price on an American basket put option on
> a portfolio of 10 dividend paying stocks with 6 months
> maturity?
>
> Thank you in advance,
>
> Moshe.
>
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