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. ISSN 1544-6131

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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.

Item Type: Article
Subjects: Business and Management
Date Deposited: 03 Nov 2014 20:13
Last Modified: 12 Jul 2023 19:40
URI: https://eprints.exchange.isb.edu/id/eprint/147

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