Multi-asset contracts

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 9 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 199-219 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Multi-dimensional Regular Lévy Processes of Exponential typeMulti-dimensional KoBoL familyNormal Inverse Gaussian processes and Normal Tempered Stable Lévy processesHyperbolic Processes, Generalized Hyperbolic Processes and Variance Gamma ProcessesDefinition of multi-dimensional RLPEEuropean-style contractsThe Esscher transformPricing of power forwardsPricing of European options on one assetPricing of exchange options and basket optionsLocally risk–minimizing hedging with a portfolio of several assetsThe set-upWeights of the hedging portfolioHedging of European claimsLocally risk-minimizing hedging of “power forwards”Approximate locally risk-minimizing hedging: general caseWeighted discretely sampled geometric average

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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