[R-SIG-Finance] Financial Basket Options

[MAB]

Moshe Olshansky <m_olshansky <at> yahoo.com> writes:

> 
> Hi Michel,
> 
> European option (either put or call) is a much easier
> task than the American one since the optimal strategy
> is known (and trivial).
> Are any dividends expected before maturity? Are they
> fixed amount (usually the case when the maturity date

Hi Moshe,

I look forward to receiving the code.

The option is on an energy commodity basket so dividends are not an issue. We 
may need eventually to transact and option on the average of the basket (price 
average over life of the basket) or a basket of the averages of each commodity.

Regard,

Michel