| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | Wu, Yang-Che ; Liao, Szu-Lang ; Shyu,So-De | en_US |
| dc.creator (作者) | 吳仰哲;廖四郎;徐守德 | zh_TW |
| dc.date (日期) | 2009-02 | en_US |
| dc.date.accessioned | 17-Feb-2014 17:49:22 (UTC+8) | - |
| dc.date.available | 17-Feb-2014 17:49:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Feb-2014 17:49:22 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63906 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format.extent | 1686389 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Insurance: Mathematics and Economics, 44(1), 95-102 | en_US |
| dc.subject (關鍵詞) | Normal inverse Gaussian; Basket option; Esscher transform; Time-changed Lévy process | en_US |
| dc.title (題名) | Closed-form Valuations of Basket Options Using a Multivariate Normal Inverse Gaussian Model | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.insmatheco.2008.10.007 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.insmatheco.2008.10.007 | en_US |
