Closed-form valuations of basket options using a multivariate normal inverse Gaussian model

DOI10.1016/j.insmatheco.2008.10.007zbMath1156.91389OpenAlexW2028231329MaRDI QIDQ1003824

Yang-Che Wu, So-De Shyu, Szu-Lang Liao

Publication date: 4 March 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.10.007

zbMATH Keywords

Esscher transformtime-changed Lévy processbasket optionnormal inverse Gaussian

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing and hedging basket options with exact moment matching, Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes, An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach, CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

Cites Work

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• Time Changes for Lévy Processes
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• Stochastic Volatility for Lévy Processes