Pricing and hedging of a general kind of multiasset option

Authors

  • Silvia Romagnoli Alma Mater Studiorum - Università di Bologna
  • Tiziano Vargiolu Università degli Studi di Padova

DOI:

https://doi.org/10.6092/issn.1973-2201/343

Abstract

Our aims is to propose an evaluation and a replicating strategy for a general kind of multiasset option in an international multicurrencies no-arbitrage world with Gaussian interest rates. Johnson's formula for the option on the maximum of several assets is derived as a particular case of ours, and two examples of application, namely the MAP strategy and the option on the arithmetic mean of several assets, are presented.

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Published

2007-10-19

How to Cite

Romagnoli, S., & Vargiolu, T. (2003). Pricing and hedging of a general kind of multiasset option. Statistica, 63(1), 123–145. https://doi.org/10.6092/issn.1973-2201/343

Issue

Vol. 63 No. 1 (2003)

Section

Articles

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