| dc.date.accessioned | 2013-03-12T08:17:56Z | |
| dc.date.available | 2013-03-12T08:17:56Z | |
| dc.date.issued | 2008 | en_US |
| dc.date.submitted | 2011-07-13 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10364 | |
| dc.description.abstract | In this paper we will approximate the sum of the margins from a two dimensional lognormal variable by moment matching with a one dimensional lognormal variable. We will look at different cases of correlation and volatility in the two dimensional variable to analyse the accuracy of the approximation. Basket options will be valuated based on the sum of two coupled lognormal assets and a univariate approximation to detect situations where the moment matching may be successfully applied in a financial market. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-23420 | |
| dc.rights | © The Author(s) (2008). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Lognormal moment matching and pricing of basket options | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2011-07-13 | en_US |
| dc.rights.holder | Copyright 2008 The Author(s) | |
| dc.creator.author | Henriksen, Pål Nicolai | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-28485 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 132535 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10364/1/stat-res-01-08.pdf | |