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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63906
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63906


    Title: Closed-form Valuations of Basket Options Using a Multivariate Normal Inverse Gaussian Model
    Authors: Wu, Yang-Che;Liao, Szu-Lang;Shyu,So-De
    吳仰哲;廖四郎;徐守德
    Contributors: 金融系
    Keywords: Normal inverse Gaussian;Basket option;Esscher transform;Time-changed Lévy process
    Date: 2009-02
    Issue Date: 2014-02-17 17:49:22 (UTC+8)
    Abstract: This paper uses a multivariate normal inverse Gaussian model to develop closed-form pricing formulas for both geometric and arithmetic basket options. For geometric basket options, an exact analytical solution is possible; for arithmetic basket options, the formula is an approximation. The model is based on a jump-driven financial process, which is known empirically to be more realistic than a geometric Brownian motion. By comparing our results to Monte Carlo experiments, we confirm the internal consistency of our formulas. The “Greeks” can be derived from the closed-form formulas in a straightforward manner.
    Relation: Insurance: Mathematics and Economics, 44(1), 95-102
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.insmatheco.2008.10.007
    DOI: 10.1016/j.insmatheco.2008.10.007
    Appears in Collections:[金融學系] 期刊論文

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