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Full-Text Articles in Social and Behavioral Sciences
Derivative Pricing Using Multivariate Affine Generalized Hyperbolic Distributions, José Fajardo, Aquiles Farias
Derivative Pricing Using Multivariate Affine Generalized Hyperbolic Distributions, José Fajardo, Aquiles Farias
José Fajardo
In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA (São Paulo Stock Exchange) and the exchange rate of the Brazilian Real vs. US Dollar to price some multidimensional derivatives.
Market Symmetry In Time Changed Brownian Models, José Fajardo, Ernesto Mordecki
Market Symmetry In Time Changed Brownian Models, José Fajardo, Ernesto Mordecki
José Fajardo
In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219–227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that the drift must be equal to-1/2. Also, we derive explicit conditions to test whether the NIG, CGMY and Meixner processes are symmetric or not. Finally, we perform some tests with real financial data.