An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve
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 facto...
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| Format: | Article |
| Language: | English |
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Wiley
2016-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2016/8029750 |
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| _version_ | 1832562539648516096 |
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| author | Tristan Guillaume |
| author_facet | Tristan Guillaume |
| author_sort | Tristan Guillaume |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-7bbd5446c12842bca3a68a81f0c81569 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2016-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-7bbd5446c12842bca3a68a81f0c815692025-02-03T01:22:24ZengWileyJournal of Applied Mathematics1110-757X1687-00422016-01-01201610.1155/2016/80297508029750An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield CurveTristan Guillaume0Laboratoire Thema, Université de Cergy-Pontoise, 33 boulevard du Port, 95011 Cergy-Pontoise Cedex, FranceThis 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.http://dx.doi.org/10.1155/2016/8029750 |
| spellingShingle | Tristan Guillaume An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve Journal of Applied Mathematics |
| title | An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve |
| title_full | An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve |
| title_fullStr | An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve |
| title_full_unstemmed | An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve |
| title_short | An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve |
| title_sort | analytically tractable model for pricing multiasset options with correlated jump diffusion equity processes and a two factor stochastic yield curve |
| url | http://dx.doi.org/10.1155/2016/8029750 |
| work_keys_str_mv | AT tristanguillaume ananalyticallytractablemodelforpricingmultiassetoptionswithcorrelatedjumpdiffusionequityprocessesandatwofactorstochasticyieldcurve AT tristanguillaume analyticallytractablemodelforpricingmultiassetoptionswithcorrelatedjumpdiffusionequityprocessesandatwofactorstochasticyieldcurve |