Implementing option pricing models when asset returns are predictable and discontinuous

2001 ◽  
pp. 165-228
Author(s):  
George J. Jiang
Keyword(s):  
Option Pricing ◽  
Asset Returns ◽  
Pricing Models

MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES

2018 ◽  
Vol 21 (02) ◽  
pp. 1850007 ◽  
Author(s):  
FLORENCE GUILLAUME
Keyword(s):  
Option Pricing ◽  
Asset Returns ◽  
Dependence Structure ◽  
Financial Instruments ◽  
Multivariate Models ◽  
Pricing Models ◽  
Stylized Facts ◽  
Basket Options ◽  
Spread Options

Pricing and hedging of financial instruments whose payoff depends on the joint realization of several underlyings (basket options, spread options, etc.) require multivariate models that are, at the same time, computationally tractable and flexible enough to accommodate the stylized facts of asset returns and of their dependence structure. Among the most popular models one finds models with VG marginals. The aim of this paper is to compare four multivariate models that are characterized by VG laws at unit time and to assess their performance by considering the flexibility they offer to calibrate the dependence structure for fixed marginals.

Joint Calibration of Option Pricing Models via Particle Methods

2005 ◽  
Author(s):  
Billy Amzal ◽  
Yonathan Ebguy ◽  
Sebastien Roland
Keyword(s):  
Option Pricing ◽  
Particle Methods ◽  
Pricing Models

scholarly journals Quanto Pricing beyond Black–Scholes

2021 ◽  
Vol 14 (3) ◽  
pp. 136
Author(s):  
Holger Fink ◽  
Stefan Mittnik
Keyword(s):  
Option Pricing ◽  
Goodness Of Fit ◽  
Calibration Procedure ◽  
Barrier Options ◽  
Pricing Models ◽  
Modeling Framework ◽  
Double Barrier ◽  
Parameter Stability ◽  
Comprehensive Data ◽  
Black Scholes

Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so far, due to the lack of comprehensive data records of exchange-traded quanto transactions. To overcome this, we make use of exchange-traded structured products. After deriving prices for composite options in the existing modeling framework, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of fit for plain vanilla and exotic double-barrier options.

Implementing option-pricing models using software synthesis

1999 ◽  
Vol 1 (6) ◽  
pp. 54-64 ◽  
Author(s):  
J. Gatheral ◽  
Y. Epelbaum ◽  
Jining Han ◽  
K. Laud ◽  
O. Lubovitsky ◽  
...  
Keyword(s):  
Option Pricing ◽  
Pricing Models ◽  
Software Synthesis
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