Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Sato two-factor models for multivariate option pricing
Florence Guillaume
Abstract
ABSTRACT
This paper provides a multivariate Sato model for multivariate option pricing where the asset log-returns are expressed as Sato time-changed Brownian motions and where the time change is the weighted sum of a common and an idiosyncratic component. The main advantage of this model is that it allows us to replicate univariate option prices in both the strike and time-to-maturity dimensions. In particular, it is able to fit both the univariate option surfaces and the asset logreturn dependence structures with high precision for the period from June 2008 to October 2009 - a time frame that includes the credit crisis.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
