Option Pricing with State-Price Deflators: The Multivariate Exponential Wang Normal Variance: Gamma Asset Pricing Models
نویسنده
چکیده
Alternatives to the Black-Scholes-Vasicek deflator introduced in [25] are proposed. They are based on the multivariate Wang variance-gamma process considered in [66]. As an application, closed form analytical multiple integral formulas for pricing the European geometric basket option with a deflated multivariate exponential Wang variance-gamma asset pricing model are derived. Mathematics Subject Classification: 62P05, 62P20, 91B24, 91B25, 91G20
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تاریخ انتشار 2015