Pricing and hedging of a general kind of multiasset option

Pricing and hedging of a general kind of multiasset option

Our aims is to propose an evaluation and a replicating strategy for a general kind of multiasset option in an international multicurrencies no-arbitrage world with Gaussian interest rates. Johnson's formula for the option on the maximum of several assets is derived as a particular case of ours,...

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Main Authors: Silvia Romagnoli, Tiziano Vargiolu
Format: Article
Language:English
Published: University of Bologna 2007-10-01
Series:Statistica
Online Access:http://rivista-statistica.unibo.it/article/view/343
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spelling doaj-213d9d7b74b142bc86e5d26ff71b98cf2020-11-24T23:46:43ZengUniversity of BolognaStatistica0390-590X1973-22012007-10-0163112314510.6092/issn.1973-2201/343335Pricing and hedging of a general kind of multiasset optionSilvia RomagnoliTiziano VargioluOur aims is to propose an evaluation and a replicating strategy for a general kind of multiasset option in an international multicurrencies no-arbitrage world with Gaussian interest rates. Johnson's formula for the option on the maximum of several assets is derived as a particular case of ours, and two examples of application, namely the MAP strategy and the option on the arithmetic mean of several assets, are presented.http://rivista-statistica.unibo.it/article/view/343
collection DOAJ
language English
format Article
sources DOAJ
author Silvia Romagnoli
Tiziano Vargiolu
spellingShingle Silvia Romagnoli
Tiziano Vargiolu
Pricing and hedging of a general kind of multiasset option
Statistica
author_facet Silvia Romagnoli
Tiziano Vargiolu
author_sort Silvia Romagnoli
title Pricing and hedging of a general kind of multiasset option
title_short Pricing and hedging of a general kind of multiasset option
title_full Pricing and hedging of a general kind of multiasset option
title_fullStr Pricing and hedging of a general kind of multiasset option
title_full_unstemmed Pricing and hedging of a general kind of multiasset option
title_sort pricing and hedging of a general kind of multiasset option
publisher University of Bologna
series Statistica
issn 0390-590X
1973-2201
publishDate 2007-10-01
description Our aims is to propose an evaluation and a replicating strategy for a general kind of multiasset option in an international multicurrencies no-arbitrage world with Gaussian interest rates. Johnson's formula for the option on the maximum of several assets is derived as a particular case of ours, and two examples of application, namely the MAP strategy and the option on the arithmetic mean of several assets, are presented.
url http://rivista-statistica.unibo.it/article/view/343
work_keys_str_mv AT silviaromagnoli pricingandhedgingofageneralkindofmultiassetoption
AT tizianovargiolu pricingandhedgingofageneralkindofmultiassetoption
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