Operator trigonometry of multivariate finance |
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Authors: | Karl Gustafson |
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Affiliation: | University of Colorado, Department of Mathematics, Boulder, CO 80309-0395, USA |
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Abstract: | ![]() We inquire into an operator-trigonometric analysis of certain multi-asset financial pricing models. Our goal is to provide a new geometric point of view for the understanding and analysis of such financial instruments. Among those instruments which we examine are quantos for currency hedging, spread options for multi-asset pricing, portfolio rebalancing under stochastic interest rates, Black-Scholes volatility models, and risk measures. |
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Keywords: | 62H20 62P05 91B28 15A18 |
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