| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1146418 | Journal of Multivariate Analysis | 2010 | 11 Pages |
Abstract
We inquire into an operator-trigonometric analysis of certain multi-asset financial pricing models. Our goal is to provide a new geometric point of view for the understanding and analysis of such financial instruments. Among those instruments which we examine are quantos for currency hedging, spread options for multi-asset pricing, portfolio rebalancing under stochastic interest rates, Black–Scholes volatility models, and risk measures.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Karl Gustafson,