Multi-Asset Option Pricing Based on Exponential Lévy Process

Abstract:

The multi-dimensional Esscher transform was used to find a locally equivalent martingale measure to price the options based on multi-asset. An integro-differential equation was driven for the prices of multi-asset options. The numerical method based on the Fourier transform was used to calculate some special multi-asset options in exponential Lévy models. As an example we give the calculation of extreme options.

• Periodical: Applied Mechanics and Materials (Volumes 380-384)
• Pages: 4537-4540
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.380-384.4537
• Online since: August 2013
• Authors: Nan Liu, Mei Ling Wang, Xue Bin Lü
• Keywords: Esscher Transform, Lévy Process, Multi-Asset Option Pricing

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