Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090799 | Journal of Banking & Finance | 2010 | 11 Pages |
Abstract
In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA (São Paulo Stock Exchange) and the exchange rate of the Brazilian Real vs. US Dollar to price some multidimensional derivatives.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
José Fajardo, Aquiles Farias,