| Autor: |
Cynthia Ikamari, Philip Ngare, Patrick Weke |
| Jazyk: |
angličtina |
| Rok vydání: |
2020 |
| Předmět: |
|
| Zdroj: |
Scientific African, Vol 10, Iss , Pp e00564- (2020) |
| Druh dokumentu: |
article |
| ISSN: |
2468-2276 |
| DOI: |
10.1016/j.sciaf.2020.e00564 |
| Popis: |
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 an approximate price for European call multi-asset options. The single asset price is derived using the risk-neutral pricing approach, and the multi-asset case uses the notion of comonotonicity. A numerical illustration is looked at to validate the theoretical results and to show the accuracy of the information-based model. The results show that prices from the information-based model provide a close fit to the empirical prices using a suitable information flow rate parameter. Hence, by making use of the information available in the market, an investor can price multi-asset European call options. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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