کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5776329 | 1631974 | 2017 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivariate European option pricing in a Markov-modulated Lévy framework
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper studies the pricing of some multivariate European options, namely Exchange options and Quanto options, when the risky assets involved are modelled by Markov-Modulated Lévy Processes (MMLPs). Pricing formulae are based upon the characteristic exponents by using the well known FFT methodology. We study these pricing issues both under a risk neutral martingale measure and the historical measure. The dependence between the asset's components is incorporated in the joint characteristic function of the MMLPs. As an example, we concentrate upon a regime-switching version of the model of Ballotta et al. (2015) in which the dependence structure is introduced in a flexible way. Several numerical examples are provided to illustrate our results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 317, June 2017, Pages 171-187
Journal: Journal of Computational and Applied Mathematics - Volume 317, June 2017, Pages 171-187
نویسندگان
Griselda Deelstra, Matthieu Simon,