Derivative pricing using multivariate affine generalized hyperbolic distributions
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
- Simon A. Broda & Marc S. Paolella, 2009.
"CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 7(4), pages 412-436, Fall.
- Simon A. BRODA & Marc S. PAOLELLA, 2006. "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Swiss Finance Institute Research Paper Series 08-08, Swiss Finance Institute, revised Feb 2008.
- José Fajardo & Ernesto Mordecki, 2009.
"Skewness Premium with Lévy Processes,"
CREATES Research Papers
2009-10, Department of Economics and Business Economics, Aarhus University.
- José Fajardo & Aquiles Farias, 2008.
"Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation,"
IBMEC RJ Economics Discussion Papers
2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Fajardo, José & Farias, Aquiles, 2009. "Multivariate affine generalized hyperbolic distributions: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 174-184, September.
- Schmidt, Rafael & Hrycej, Tomas & Stutzle, Eric, 2006. "Multivariate distribution models with generalized hyperbolic margins," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2065-2096, April.
- T. R. Hurd & Zhuowei Zhou, 2009. "A Fourier transform method for spread option pricing," Papers 0902.3643, arXiv.org.
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
- Fajardo, J. & Farias, A., 2003.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Finance Lab Working Papers
flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:34:y:2010:i:7:p:1607-1617. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.