Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach

DOI10.1007/978-3-319-02499-8_25zbMath1418.91543OpenAlexW1976468036MaRDI QIDQ4561921

Corrado Corradi, Gian Luca Tassinari

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/3348/1/Cfo_correlated_Bms.pdf

zbMATH Keywords

equivalent martingale measuregamma processexcess kurtosishedge fundemerge market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Forward-looking portfolio selection with multivariate non-Gaussian models

Cites Work

• Time Changes for Lévy Processes
• A multivariate jump-driven financial asset model
• Financial Modelling with Jump Processes
• Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure

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