Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013)

Multi-asset option pricing based on exponential Lévy process

Authors
Nan Liu, Meiling Wang, Xuebin Lü
Corresponding Author
Nan Liu
Available Online April 2013.
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/).

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Volume Title
Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013)
Series
Advances in Intelligent Systems Research
Publication Date
April 2013
ISBN
978-94-91216-42-8
ISSN
1951-6851
DOI
10.2991/icsem.2013.146How to use a DOI?
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/).

Cite this article

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  -