Aanand Venkatramanan

University of Reading - ICMA Centre

Doctoral Researcher

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

http://www.icmacentre.ac.uk/index.php?id=146

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Analytic Approximations for Spread Options

Number of pages: 22 Posted: 06 Sep 2007 Last Revised: 26 Jun 2009
Carol Alexander and Aanand Venkatramanan
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1,120 (24,497)
Citation 5

Abstract:

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Spread options, exchange options, American options, analytic formula, Kirks approximation, correlation skew

Analytic Approximations for Multi-Asset Option Pricing

ICMA Centre Discussion Papers in Finance DP2009-05
Number of pages: 44 Posted: 25 Jun 2009 Last Revised: 16 Aug 2010
Carol Alexander and Aanand Venkatramanan
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 693 (47,200)
Citation 4

Abstract:

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basket options, rainbow options, best-of and worst-of options, compound exchange options, analytic approximation

Analytic Approximations for Multi‐Asset Option Pricing

Mathematical Finance, Vol. 22, Issue 4, pp. 667-689, 2012
Number of pages: 23 Posted: 23 Aug 2012
Carol Alexander and Aanand Venkatramanan
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1 (837,300)
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basket options, rainbow options, best‐of and worst‐of options, compound exchange options, analytic approximation

3.

Meshfree Approximation for Multi-Asset Options

ICMA Centre Discussion Papers in Finance DP2009-07
Number of pages: 22 Posted: 28 Jun 2009
Emmanuel Hanert and Aanand Venkatramanan
Catholic University of Louvain (UCL) and University of Reading - ICMA Centre
Downloads 121 (292,181)

Abstract:

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multi-asset options, radial basis function, meshfree approximation, collocation, multi-dimensional Levy process, basket options, PIDE, PDE