کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090151 1375619 2010 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing multiasset equity options: How relevant is the dependence function?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Pricing multiasset equity options: How relevant is the dependence function?
چکیده انگلیسی
In this paper we test how different choices for the dependence function can affect the prices of a set of multiasset equity options. We conduct the analysis for various 5-dimensional baskets of UK shares, and a wide range of payoffs for the multiasset options, consistent with the instruments traded on the market. We also test the relevance of the dependence specification over both volatile and quiet market scenarios. Interestingly, we find that, in most circumstances, the choice of a dependence structure richer than the standard linear correlation does not seem to affect option prices substantially. However, the dependence function becomes more relevant in particularly volatile market conditions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 4, April 2010, Pages 788-801
نویسندگان
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