This is not the document you are looking for? Use the search form below to find more!

Report home > Science

GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS

0.00 (0 votes)
Document Description
This paper provides approximate formulas that generalize the Black-Scholes formula in all dimensions. Pricing and hedging of multivariate contingent claims are achieved by computing lower and upper bounds. These bounds are given inclosed form in the same spirit as the classical one-dimensional Black-Scholes formula. Lower bounds perform remarkably well. Like in the one- dimensional case, Greeks are also available inclosed form. We discuss an extension to basket options with barrier.
File Details
Submitter
  • Username: samanta
  • Name: samanta
  • Documents: 1258

We are unable to create an online viewer for this document. Please download the document instead.

GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS screenshot

Add New Comment




Related Documents

Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Exotic Options

by: samanta, 4 pages

In the first article in this series we introduced the bi- nomialoption pricing formula. Since the publication of that article, the Nobel prize in economics has been awarded to Robert Mertonand Myron ...

CAN NEURAL NETWORKS LEARN THE BLACK-SCHOLES MODEL?: A SIMPLIFIED APPROACH

by: samanta, 17 pages

Neural networks have been shown to learn complex relationships. It would be interesting to see if the networks can be trained to learn the nonlinear relationship underlying Black-Scholes type models. ...

who has stirred quite a debate all over the internet on the subject of the unwed Black woman and how white men black women marriages and interracial dating in general is something the Black woman needs to consider as the solution to “the problemR

by: onlineromance89, 2 pages

who has stirred quite a debate all over the internet on the subject of the unwed Black woman and how white men black women marriages and interracial dating in general is something the Black woman ...

The Black Womans Guide To Financial Planning And Investing

by: matthew, 3 pages

The Black Womans Guide To Financial Planning And Investing

Flat Abs In 1 Week - The Flat Abs Formula

by: shizuki, 2 pages

Flat Abs In 1 Week - The Flat Abs Formula

A review of the Black Country economy and labour market from the PricewaterhouseCoopers West Midlands Business Surveys: 1994- 1998

by: samanta, 21 pages

This paper updates previous research papers and looks specifically at the economy and labour market of the Black Country focusing on a set of business performance, recruitment, training and skills ...

The Black Cave

by: Matt, 13 pages

The Black Cave

where's the most affordable spot to acquire good prescription glasses

by: strawloan3, 2 pages

Finding the best location to buy doctor prescribed glasses is easy with today’s technologies. Prescr...

They say it’s much harder for Black women in the U.S. to get married to their male counterparts – the black men. Statistics cite 70% of Black women being unmarried right? On top of those statistics are those stats about divorce between Black w

by: onlineromance89, 2 pages

They say it’s much harder for Black women in the U.S. to get married to their male counterparts – the black men. Statistics cite 70% of Black women being unmarried right? On top of those ...

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is Wrong

by: samanta, 29 pages

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Mertonframework large portfolios of options can be hedged without risk indiscrete time. ...

Download
GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS

 

 

Your download will begin in a moment.
If it doesn't, click here to try again.

Share GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS to:

Insert your wordpress URL:

example:

http://myblog.wordpress.com/
or
http://myblog.com/

Share GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS as:

From:

To:

Share GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS.

Enter two words as shown below. If you cannot read the words, click the refresh icon.

loading

Share GENERALIZING THE BLACK-SCHOLES FORMULA TO MULTIVARIATE CONTINGENT CLAIMS as:

Copy html code above and paste to your web page.

loading