๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Option Pricing on Multiple Assets

โœ Scribed by Thomas P. Branson; Yang Ho Choi

Publisher
Springer Netherlands
Year
2006
Tongue
English
Weight
385 KB
Volume
94
Category
Article
ISSN
0167-8019

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Option valuation with co-integrated asse
Option valuation with co-integrated asset prices
โœ Jin-Chuan Duan; Stanley R. Pliska ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 403 KB

This paper investigates theoretical and practical aspects of options that are based upon two or more assets which are co-integrated. For this purpose, a new, discrete-time model of asset prices is developed, a model featuring both the co-integration property as well as stochastic volatilities. Using

Multiple Priors and Asset Pricing
Multiple Priors and Asset Pricing
โœ Dilip B. Madan; Robert J. Elliott ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Springer US ๐ŸŒ English โš– 367 KB
On the theory of option pricing
On the theory of option pricing
โœ A. Bensoussan ๐Ÿ“‚ Article ๐Ÿ“… 1984 ๐Ÿ› Springer Netherlands ๐ŸŒ English โš– 714 KB

The objective of this article is to provide an axiomatic framework in order to define the concept of value function for risky operations for which there is no market. There is a market for assets, whose prices are characterized as stochastic processes. The method consists of constructing a portfolio