Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure

DOI10.1080/14697688.2012.749574zbMath1282.91348OpenAlexW2009967291MaRDI QIDQ5400668

Gian Luca Tassinari, Corrado Corradi

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.749574

zbMATH Keywords

Lévy processcomovementalternative investmentsmodelling asset price dynamics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

Cites Work

• Time Changes for Lévy Processes
• A multivariate jump-driven financial asset model
• Option Pricing With V. G. Martingale Components¹
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing

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