Multi-asset option pricing using an information-based model
Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets. This study uses an information-based model to derive...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-11-01
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| Series: | Scientific African |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2468227620303021 |