A recursive pricing method for autocallables under multivariate subordination

A recursive pricing method for autocallables under multivariate subordination

In this paper we develop a new class of models for pricing autocallables based on multivariate subordinate Orstein Uhlenbeck (OU) processes. Starting from d independent OU processes and an independent d-dimensional Lévy subordinator, we construct a new process by time changing each of the OU process...

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Bibliographic Details
Main Author: Kevin Z. Tong
Format: Article
Language:English
Published: AIMS Press 2019-07-01
Series:Quantitative Finance and Economics
Subjects:
autocallables
multivariate assets
eigenfunction expansion
multivariate subordination|
stochastic time change
OU process
jump diffusion
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.3.440/fulltext.html

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https://www.aimspress.com/article/10.3934/QFE.2019.3.440/fulltext.html

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