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Multi-asset contracts

In: Non-Gaussian Merton-Black-Scholes Theory

Author

Listed:
  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)

Abstract

The following sections are included:Multi-dimensional Regular Lévy Processes of Exponential typeMulti-dimensional KoBoL familyNormal Inverse Gaussian processes and Normal Tempered Stable Lévy processesHyperbolic Processes, Generalized Hyperbolic Processes and Variance Gamma ProcessesDefinition of multi-dimensional RLPEEuropean-style contractsThe Esscher transformPricing of power forwardsPricing of European options on one assetPricing of exchange options and basket optionsLocally risk–minimizing hedging with a portfolio of several assetsThe set-upWeights of the hedging portfolioHedging of European claimsLocally risk-minimizing hedging of “power forwards”Approximate locally risk-minimizing hedging: general caseWeighted discretely sampled geometric average

Suggested Citation

  • Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Multi-asset contracts," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 9, pages 199-219, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812777485_0009
    as

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