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.

Full text not available from this repository. (Request a copy)

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 Creiators:	ISB Creators ORCiD Bhandari, R UNSPECIFIED
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/
Related URLs:	Google Scholar

Actions (login required)

View Item

Statistics for this ePrint Item