Journal
EUROPEAN JOURNAL OF FINANCE
Volume 22, Issue 13, Pages 1320-1350Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/1351847X.2013.870917
Keywords
jump-diffusion process; Levy processes; model calibration; multi-names derivative contracts; subordinated Brownian motions; time-changed Levy processes; G13; G12; C63; D52
Categories
Ask authors/readers for more resources
In this paper, we propose a multivariate asset model based on Levy processes for pricing of products written on more than one underlying asset. Our construction is based on a two-factor representation of the dynamics of the asset log-returns. We investigate the properties of the model and introduce a multivariate generalization of some processes which are quite common in financial applications, such as subordinated Brownian motions, jump-diffusion processes and time-changed Levy processes. Finally, we explore the issue of model calibration for the proposed setting and illustrate its robustness on a number of numerical examples.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available