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2016 An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve
Tristan Guillaume
J. Appl. Math. 2016: 1-14 (2016). DOI: 10.1155/2016/8029750

Abstract

This paper shows how to value multiasset options analytically in a modeling framework that combines both continuous and discontinuous variations in the underlying equity or foreign exchange processes and a stochastic, two-factor yield curve. All correlations are taken into account, between the factors driving the yield curve, between fixed income and equity as asset classes, and between the individual equity assets themselves. The valuation method is applied to three of the most popular two-asset options.

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Tristan Guillaume. "An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve." J. Appl. Math. 2016 1 - 14, 2016. https://doi.org/10.1155/2016/8029750

Information

Received: 6 June 2016; Accepted: 4 September 2016; Published: 2016
First available in Project Euclid: 17 December 2016

zbMATH: 07037293
MathSciNet: MR3568680
Digital Object Identifier: 10.1155/2016/8029750

Rights: Copyright © 2016 Hindawi

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