Pricing multivariate options under stochastic volatility lévy processes

DOI10.1080/02522667.2011.10700062zbMath1218.91155OpenAlexW1966869319MaRDI QIDQ3020617

Ming-Hsiang Huang, Shian-Chang Huang, Nan-Yu Wang

Publication date: 4 August 2011

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/1026202H_07_JIOS_T25_32-2_pp381-410a.pdf

zbMATH Keywords

generalized Fourier transformtime-changed Lévy processextended Esscher transformmultivariate options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The cumulant process and Esscher's change of measure
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Changes of numéraire, changes of probability measure and option pricing

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