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首页> 外文期刊>International journal of computational and applied mathematics >Pricing Multi-asset Equity Options Driven by a Multidimensional Variance Gamma Process Under Nonlinear Dependence Structures
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Pricing Multi-asset Equity Options Driven by a Multidimensional Variance Gamma Process Under Nonlinear Dependence Structures

机译：因股票期权由于定价风险多维方差伽马处理下非线性结构的依赖

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摘要

In finance, dependence structure between assets is of great importance. For example, pricing options involving many assets, one must make preassumption about the dependence structure between assets or one important issue in risk management is to find out the dependence structure when calculating VaR. The aim of this paper is to explore the dynamic properties of a multidimensional Variance Gamma process, which has non Gaussian marginal features and non linear dependence structure. We use copula functions to specify the dependence structure of underlying assets. We study the effect of different choices for the dependence functions to the prices of a set of multi-asset equity options. The analysis is conducted using 5-dimensional baskets that consist of Jakarta Stock Exchange Composite Index (IIISG) and four other Asian Indices. Hang Seng. Nikkei. KOSPL Straits Times Index (STI) and a standard payoff functions for multi-asset options. The results show that the different choices of dependence structure do not give significantly different option prices.
机译：在金融领域,结构资产之间的依赖具有十分重要的意义。涉及许多资产,一个必须preassumption依赖结构之间的资产或风险中的一个重要问题管理是找出依赖结构在计算VaR的目的纸是探索的动态属性多维方差伽马流程,该流程边际特性和非线性非高斯的吗依赖结构。指定的依赖结构基础资产。依赖的功能的价格多资产股票期权。进行了使用五维篮子吗由雅加达证券交易所综合指数亚洲指数(IIISG)和其他四个。日经指数。标准为投资收益函数选项。选择依赖结构的不给期权价格明显不同。

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