کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077199 | 1374121 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper uses a multivariate normal inverse Gaussian model to develop closed-form pricing formulas for both geometric and arithmetic basket options. For geometric basket options, an exact analytical solution is possible; for arithmetic basket options, the formula is an approximation. The model is based on a jump-driven financial process, which is known empirically to be more realistic than a geometric Brownian motion. By comparing our results to Monte Carlo experiments, we confirm the internal consistency of our formulas. The “Greeks” can be derived from the closed-form formulas in a straightforward manner.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 1, February 2009, Pages 95-102
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 1, February 2009, Pages 95-102
نویسندگان
Yang-Che Wu, Szu-Lang Liao, So-De Shyu,