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|Title:||FINANCIAL SYSTEMS DEVELOPMENT||Authors:||LIM CHIN SOON||Keywords:||Long short basket option
|Issue Date:||2009||Citation:||LIM CHIN SOON (2009). FINANCIAL SYSTEMS DEVELOPMENT. ScholarBank@NUS Repository.||Abstract:||In the first part of this report, we explore three different techniques to price an exotic long short basket option, namely, exchange option, moment matching method and Bachelier model. After some justification, we choose the Bachelier model. Next, we provide a brief summary of the Stochastic Alpha, Beta and Rho (SABR) model, which is used to model the smile/smirk seen in market volatilities for options with different strike prices or maturities. We also summarize the correction to the original SABR model because the latter model has some inconsistency and pricing problems in the low strike region.||URI:||https://scholarbank.nus.edu.sg/handle/10635/153981|
|Appears in Collections:||Master's Theses (Restricted)|
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