The multivariate Variance Gamma model: basket option pricing and calibration

DOI10.1080/14697688.2015.1043934zbMath1468.91171OpenAlexW1831503339MaRDI QIDQ5001151

Ben Stassen, Daniël Linders

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/464492

zbMATH Keywords

comonotonicitymultivariate calibrationbasket optionmultivariate variance gamma

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps ⋮ OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ Comonotonic asset prices in arbitrage-free markets ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Lévy copulae for financial returns ⋮ American-type basket option pricing: a simple two-dimensional partial differential equation ⋮ Option pricing in time-changed Lévy models with compound Poisson jumps ⋮ General closed-form basket option pricing bounds ⋮ BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

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