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,...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
University of Bologna
2007-10-01
|
| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/343 |