Quanto option pricing in the presence of fat tails and asymmetric dependence

DOI10.1016/j.jeconom.2015.02.035zbMath1337.91104OpenAlexW2069148802WikidataQ59410572 ScholiaQ59410572MaRDI QIDQ2347727

Yanyan Li

Publication date: 8 June 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.035

zbMATH Keywords

Lévy processBlack-Scholes option pricingquanto optionmultivariate normal tempered stable processNikkei 225 dollar options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

American option valuation under time changed tempered stable Lévy processes ⋮ Tempered stable structural model in pricing credit spread and credit default swap ⋮ Tempered stable processes with time-varying exponential tails ⋮ Robustness analysis on the pricing of some options on two assets with delays ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model ⋮ Tempered stable process, first passage time, and path-dependent option pricing ⋮ The numerical simulation of Quanto option prices using Bayesian statistical methods ⋮ Aumann-Serrano index of risk in portfolio optimization ⋮ FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK ⋮ Econometric analysis of financial derivatives: an overview

Uses Software

• AnDarl
• k.c

Cites Work

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• VaR-implied tail-correlation matrices
• Normal tempered stable copula
• PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL
• Feller processes of normal inverse Gaussian type
• Financial Modelling with Jump Processes

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