Publication
Title
Multivariate option pricing models with levy and sato vg marginal processes
Author
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.
Language
English
Source (journal)
International journal of theoretical and applied finance. - Singapore
Publication
Singapore : 2018
ISSN
0219-0249
Volume/pages
21 :2 (2018) , 26 p.
Article Reference
1850007
ISI
000432901000003
Medium
E-only publicatie
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 12.06.2018
Last edited 17.09.2021
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