General closed-form basket option pricing bounds

This article presents lower and upper bounds on the prices of basket options for a general class of continuous-time financial models. The techniques we propose are applicable whenever the joint characteristic function of the vector of log-returns is known. Moreover, the basket value is not required to be positive. We test our new price approximations on different multivariate models, allowing for jumps and stochastic volatility. Numerical examples are discussed and benchmarked against Monte Carlo simulations. All bounds are general and do not require any additional assumption on the characteristic function, so our methods may be employed also to non-affine models. All bounds involve the computation of one-dimensional Fourier transforms; hence, they do not suffer from the curse of dimensionality and can be applied also to high-dimensional problems where most existing methods fail. In particular, we study two kinds of price approximations: an accurate lower bound based on an approximating set and a fast bounded approximation based on the arithmetic-geometric mean inequality. We also show how to improve Monte Carlo accuracy by using one of our bounds as a control variate

Sun-related attitudes and beliefs among Queensland school children: The role of gender and age

Abstract: A cross‐sectional study of the sun‐related attitudes and beliefs of 3 655 children in Grades 7 to 11 attending 55 representative Queensland schools was undertaken using a structured questionnaire administered at school. Factors derived from a series of focus groups were incorporated into the questionnaire. Knowledge about risk factors in the aetiology of skin cancer and the role of protective measures was high. Several potential barriers to the use of sun protection were identified, including the desire to be tanned, the perceived attitudes of the peer group to sun protection, and difficulties with the use of specific sun protection measures. In general, these barriers were significantly more prominent among boys and children from older grades than other students. These data will be used to design school‐based sun protection interventions which are sensitive to these age and sex differences. 1993 Public Health Association of Australi