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- W2046522801 abstract "In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006) , to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA (São Paulo Stock Exchange) and the exchange rate of the Brazilian Real vs. US Dollar to price some multidimensional derivatives." @default.
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- W2046522801 date "2010-07-01" @default.
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- W2046522801 title "Derivative pricing using multivariate affine generalized hyperbolic distributions" @default.
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- W2046522801 doi "https://doi.org/10.1016/j.jbankfin.2010.03.007" @default.
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