Sato two factor models for multivariate option pricing

IF 0.8 4区经济学 Q4 BUSINESS, FINANCE

Journal of Computational Finance Pub Date : 2012-01-01 DOI:10.21314/JCF.2012.248

Florence Guillaume

引用次数: 19

Abstract

This paper provides a multivariate Sato model for multivariate option pricing where the asset log-returns are expressed as Sato time changed Brownian motions and where the time change is the weighted sum of a common and an idiosyncratic component. This model presents the main advantage that it allows to replicate univariate option prices in both the strike and time to maturity dimensions. In particular it is able to t both the univariate option surfaces and the asset log-return dependence structure with high precision for a period ranging from June 2008 until October 2009 including therefore the credit crisis period.

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多元期权定价的佐藤二因素模型

本文提出了一个多变量期权定价的多变量Sato模型，其中资产对数收益表示为Sato随时间变化的布朗运动，其中时间变化是一个共同分量和一个特殊分量的加权和。该模型的主要优势在于，它允许在执行和到期日维度上复制单变量期权价格。特别是在2008年6月至2009年10月期间，包括信贷危机期间，它能够高精度地计算单变量期权表面和资产对数回报依赖结构。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Computational Finance BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas: Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions. Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation. Optimization techniques in hedging and risk management. Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis. Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.