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Found 6 papers, 0 papers with code
Pricing basket options with the first three moments of the basket: log-normal models and beyond
Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets.
Exponential utility maximization in small/large financial markets
In this note, we give closed form expressions, in markets based on finitely many assets, for optimal portfolios that maximize the expected exponential utility when the return vector follows normal mean-variance mixture models.
A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models
The classical Markowitz mean-variance model uses variance as a risk measure and calculates frontier portfolios in closed form by using standard optimization techniques.
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
In this note, we give approximate closed form expressions for VaR and CVaR of portfolios of returns with NMVM distributions.
A note on closed-form spread option valuation under log-normal models
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models.
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models.
