کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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5130062 | 1378656 | 2017 | 35 صفحه PDF | دانلود رایگان |
We unify and extend a number of approaches related to constructing multivariate Madan-Seneta Variance-Gamma models for option pricing. Complementing Grigelionis' (2007) class, an overarching model is derived by subordinating multivariate Brownian motion to a subordinator from Thorin's (1977) [58, 59] class of generalised Gamma convolutions. Multivariate classes developed by Pérez-Abreu and Stelzer (2014), Semeraro (2008) and Guillaume (2013) are submodels. The classes are shown to be invariant under Esscher transforms, and quite explicit expressions for canonical measures are obtained, which permit applications such as option pricing using PIDEs or tree based methodologies. We illustrate with best-of and worst-of European and American options on two assets.
Journal: Stochastic Processes and their Applications - Volume 127, Issue 7, July 2017, Pages 2208-2242