An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve

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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Main Author: Tristan Guillaume
Format: Article
Language:English
Published: Hindawi Limited 2016-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2016/8029750
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spelling doaj-7bbd5446c12842bca3a68a81f0c815692020-11-24T22:55:01ZengHindawi LimitedJournal 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
collection DOAJ
language English
format Article
sources DOAJ
author Tristan Guillaume
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
author_facet Tristan Guillaume
author_sort Tristan Guillaume
title 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_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_sort analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve
publisher Hindawi Limited
series Journal of Applied Mathematics
issn 1110-757X
1687-0042
publishDate 2016-01-01
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.
url http://dx.doi.org/10.1155/2016/8029750
work_keys_str_mv AT tristanguillaume ananalyticallytractablemodelforpricingmultiassetoptionswithcorrelatedjumpdiffusionequityprocessesandatwofactorstochasticyieldcurve
AT tristanguillaume analyticallytractablemodelforpricingmultiassetoptionswithcorrelatedjumpdiffusionequityprocessesandatwofactorstochasticyieldcurve
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