Semiparametric Pricing of Multivariate Contingent Claims

Joshua Rosenberg

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: This paper develops and implements a methodology for pricing multivariate contingent claims (MVCC's) based on semiparametric estimation of the multivariate risk-neutral density function. This methodology generates MVCC prices which are consistent with current market prices of univariate contingent claims.

Date: 1999-08
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Persistent link: https://EconPapers.repec.org/RePEc:fth:nystfi:99-028

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