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Optimal Design of Multi-Asset Options [PDF]
RisksThe combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns
Alejandro Balbás +2 more
doaj +6 more sources
Multi-Asset Equity Options [PDF]
, 2003 The feature of several underlying assets requires traders to incorporate the correlation matrix of underlying assets in multi-asset equity options pricing. In this thesis, Monte Carlo simulation methods are used in order to quantify the precision of multi-asset equity options pricing.
Su, Xia
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Meshfree Approximation for Multi-Asset Options [PDF]
SSRN Electronic Journal, 2009 We price multi-asset options by solving their price partial differential equations using a meshfree approach with radial basis functions under jump-diffusion and geometric Brownian motion frameworks. In the geo- metric Brownian motion framework, we propose an effective technique that breaks the multi-dimensional problem to multiple 3D problems.
Emmanuel Hanert, Aanand Venkatramanan
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Analytic Approximations for Multi-Asset Option Pricing [PDF]
SSRN Electronic Journal, 2009 We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi‐ or single‐asset options.
Carol Alexander, Aanand Venkatramanan
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Multi‐asset barrier options and occupation time derivatives
Applied Mathematical Finance, 2003 A general framework is formulated to price various forms of European style multi‐asset barrier options and occupation time derivatives with one state variable having the barrier feature. Based on the lognormal assumption of asset price processes, the splitting direction technique is developed for deriving the joint density functions of multi‐variate ...
Wong, Hoi Ying, Kwok, Yue Kuen
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Pricing Multi-Asset Cross Currency Options [PDF]
SSRN Electronic Journal, 2012 This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options, cross currency basket options and cross currency average ...
Kenichiro Shiraya, Akihiko Takahashi
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Pricing multi-asset options with tempered stable distributions
Financial InnovationWe derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes ...
Yunfei Xia, Michael Grabchak
doaj +2 more sources
Correlation Risk Premia for Multi-Asset Equity Options [PDF]
, 2003 The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure.
Fengler, Matthias R., Schwendner, Peter
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Multi-Asset Spot and Option Market Simulation [PDF]
SSRN Electronic Journal, 2021 We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that approximates efficient low-dimensional representations of the prices while maintaining no static arbitrage in the ...
Magnus Wiese +6 more
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Pricing Multi-asset options using sparse grids [PDF]
, 2008 Multi-asset options are based on more than one underlying asset, in contrast to standard vanilla options. A very significant problem within the pricing techniques for multi-asset options is the curse of dimensionality. This curse of dimensionality is the exponential growth of the complexity of the problem when the dimensionality increases, because the ...
Leentvaar, C.C.W.
core +3 more sources