Multi-asset option pricing based on exponential Lévy process

DOI

10.2991/icsem.2013.146How to use a DOI?

Keywords

Multi-asset option pricing, Lévy process, Esscher transform.

Abstract

The multi-dimensional Esscher transform was used to find a locally equivalent martingale measure to price the options based on multi-asset. An integro-differential equation was driven for the prices of multi-asset options. The numerical method based on the Fourier transform was used to calculate some special multi-asset options in exponential Lévy models. As an example we give the calculation of extreme options.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Nan Liu
AU  - Meiling Wang
AU  - Xuebin Lü
PY  - 2013/04
DA  - 2013/04
TI  - Multi-asset option pricing based on exponential Lévy process
BT  - Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013)
PB  - Atlantis Press
SP  - 716
EP  - 719
SN  - 1951-6851
UR  - https://doi.org/10.2991/icsem.2013.146
DO  - 10.2991/icsem.2013.146
ID  - Liu2013/04
ER  -