In this research we employ a range of multivariate asset models based on Lévy processes to price exotic derivatives. We compare their ability to fit market data and replicate price benchmarks, and evaluate their flexibility in terms of parametrization and dependence structure. We review recent risk-neutral calibration approaches and techniques in the multivariate setting, and provide tools to make well-informed decisions in a practical context. A special focus is given to the ability of the models to capture linear and nonlinear dependence, with implications on their pricing performance. Given the exotic features of the analyzed derivatives, valuation is carried out through Monte Carlo methods.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
customersupport@researchsolutions.com
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.