Pricing and hedging of a general kind of multiasset option
AbstractOur 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.
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