MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES

Florence Guillaume ()
Additional contact information
Florence Guillaume: University of Antwerp, Middelheimlaan 1, B-2020 Antwerpen, Belgium

International Journal of Theoretical and Applied Finance (IJTAF), 2018, vol. 21, issue 02, 1-26

Abstract: Pricing and hedging of financial instruments whose payoff depends on the joint realization of several underlyings (basket options, spread options, etc.) require multivariate models that are, at the same time, computationally tractable and flexible enough to accommodate the stylized facts of asset returns and of their dependence structure. Among the most popular models one finds models with VG marginals. The aim of this paper is to compare four multivariate models that are characterized by VG laws at unit time and to assess their performance by considering the flexibility they offer to calibrate the dependence structure for fixed marginals.

Keywords: Multivariate VG models; Sato processes; Lévy processes; dependence structure; convolution; normal mixture (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024918500073
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500073

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024918500073

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().