Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes

Autor:	Arturo Leccadito, Radu Tunaru, Tommaso Paletta
Rok vydání:	2014
Předmět:	Microeconomics Computer Science::Computer Science and Game Theory Distribution (mathematics) Hermite polynomials Computer Science::Computational Engineering Finance and Science Jump diffusion Econometrics Asset (economics) Black–Scholes model Mathematics
Zdroj:	Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319050133
DOI:	10.1007/978-3-319-05014-0_38
Popis:	The empirical characteristics of the underlying asset prices should be taken into account for the pricing and hedging of options. In this paper, we show how to price basket options when assets follow the “shifted asymmetric jump-diffusion” process. The methodology is based on the Hermite polynomial expansion that can match exactly the first m moments of the model implied-probability distribution. The resultant pricing and hedging formulae are in closed-form and similar to the Black and Scholes ones.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::28d009c0cfcb0eade77b6be0c235283c https://doi.org/10.1007/978-3-319-05014-0_38 Zobrazit plný text záznamu