Dynamic Lévy Copulas and their Applications in the Pricing of Multidimensional Option with Path Dependence

Dynamic Lévy Copulas and their Applications in the Pricing of Multidimensional Option with Path Dependence

This article presents an alternative to modeling multidimensional options, where the payoffs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Lévy processes, a very ample class of stochastic processes that allows the existence of jumps (discont...

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Bibliographic Details
Main Authors: Edson Bastos e Santos, Nelson Ithiro Tanaka
Format: Article
Language:English
Published: Brazilian Society of Finance 2008-07-01
Series:Revista Brasileira de Finanças
Subjects:
Lévy processes
dynamic copulas
multidimensional options
path-dependent
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1234

Internet

http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1234

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