A Non-Gaussian Pricing Model for Structured Products
The paper aims to reconstruct the empirical premia of the structured products with two underlying assets. We apply various models that differ in probability distributions of the underlying price processes.Pricing techniques, currently worldwide accepted, are based on the Black–Scholes model modifica...
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| Format: | Article |
| Language: | English |
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National Research University Higher School of Economics
2017-09-01
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| Series: | Корпоративные финансы |
| Subjects: | |
| Online Access: | https://cfjournal.hse.ru/article/view/7210/8123 |