Derivative pricing using multivariate affine generalized hyperbolic distributions
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 34 (2010)
Issue (Month): 7 (July)
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Web page: http://www.elsevier.com/locate/jbf
Generalized hyperbolic distributions Multivariate distributions Derivative pricing Levy processes;
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