Communications in Mathematical Finance

Option Pricing with State-Price Deflators: The Multivariate Exponential Wang Normal Variance: Gamma Asset Pricing Models

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  • Abstract

    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.