Options on portfolios with higher-order moments

Bhandari, R and Das, S R (2009) Options on portfolios with higher-order moments. Finance Research Letters, 6 (3). pp. 122-129.

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Abstract

We develop a simple calibration approach to generate return distributions for multivariate asset distributions and use this technique to price options on portfolios given the first four co-moments of the joint distribution of returns. The technique is fast and captures the impact of covariance, and the co-skewness and co-kurtosis tensors on the value of these options. Given the technique works for a portfolio, the same is also applicable to options on individual securities as a special simpler case.

ISB Creators:
ISB CreatorsORCiD
Bhandari, RUNSPECIFIED
Item Type: Article
Subjects: Business and Management
Depositing User: Ilammaran A
Date Deposited: 03 Nov 2014 20:13
Last Modified: 04 Nov 2014 03:51
URI: http://eprints.exchange.isb.edu/id/eprint/147
Publisher URL: http://dx.doi.org./10.1016/j.frl.2009.04.002
Publisher OA policy: http://www.sherpa.ac.uk/romeo/issn/1544-6123/
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