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Multivariate Option Pricing Models With Lévy And Sato Vg Marginal Processes

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  • FLORENCE GUILLAUME

    (University of Antwerp, Middelheimlaan 1, B-2020 Antwerpen, Belgium)

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.

Suggested Citation

  • Florence Guillaume, 2018. "Multivariate Option Pricing Models With Lévy And Sato Vg Marginal Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-26, March.
    • Handle: RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500073
    DOI: 10.1142/S0219024918500073
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    References listed on IDEAS

    as
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    Cited by:

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