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Multi-asset contracts

In: Non-Gaussian Merton-Black-Scholes Theory

Listed author(s):
  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)

AbstractThe 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

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This chapter was published in:
  • Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955, November.
  • This item is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Book Chapters with number 9789812777485_0009.
    Handle: RePEc:wsi:wschap:9789812777485_0009
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