Derivative pricing using multivariate affine generalized hyperbolic distributions

In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA (São Paulo Stock Exchange) and the exchange rate of the Brazilian Real vs. US Dollar to price some multidimensional derivatives.

MoreLess

Year of publication:	2010
Authors:	Fajardo, José ; Farias, Aquiles
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 34.2010, 7, p. 1607-1617
Publisher:	Elsevier
Keywords:	Generalized hyperbolic distributions Multivariate distributions Derivative pricing Levy processes

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488021