The multivariate Variance Gamma model: basket option pricing and calibration
D Linders, B Stassen - Quantitative Finance, 2016 - Taylor & Francis
In this paper, we propose a methodology for pricing basket options in the multivariate
Variance Gamma model introduced in Luciano and Schoutens [Quant. Finance 6 (5), 385 …
Variance Gamma model introduced in Luciano and Schoutens [Quant. Finance 6 (5), 385 …
[HTML][HTML] A framework for robust measurement of implied correlation
D Linders, W Schoutens - Journal of Computational and Applied …, 2014 - Elsevier
In this paper we consider the problem of deriving correlation estimates from observed option
data. An implied correlation estimate arises when we match the observed index option price …
data. An implied correlation estimate arises when we match the observed index option price …
Option prices and model-free measurement of implied herd behavior in stock markets
In this paper, we introduce two classes of indices which can be used to measure the market
perception concerning the degree of dependency that exists between a set of random …
perception concerning the degree of dependency that exists between a set of random …
[图书][B] Basket option pricing and implied correlation in a one-factor Lévy model
D Linders, W Schoutens - 2016 - library.oapen.org
In this paper we employ a one-factor Lévy model to determine basket option prices. More
precisely, basket option prices are determined by replacing the distribution of the real basket …
precisely, basket option prices are determined by replacing the distribution of the real basket …
Pricing index options in a multivariate Black & Scholes model
D Linders - Available at SSRN 2381491, 2013 - papers.ssrn.com
In this paper, we consider the problem of pricing equity index options (or basket options) in a
multivariate Black & Scholes setting. Although this model suffers from some major …
multivariate Black & Scholes setting. Although this model suffers from some major …
From the Samuelson volatility effect to a Samuelson correlation effect: Evidence from crude oil calendar spread options
L Schneider, B Tavin - arXiv preprint arXiv:1401.7913, 2014 - arxiv.org
We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic
volatility process. In order to capture the Samuelson effect displayed by commodity futures …
volatility process. In order to capture the Samuelson effect displayed by commodity futures …
[PDF][PDF] TI 15-002/IV/DSF 83
In this paper, we introduce two classes of indices which can be used to measure the market
perception concerning the degree of dependency that exists between a set of random …
perception concerning the degree of dependency that exists between a set of random …
[引用][C] Basket option pricing and implied correlation in a Lévy copula model
D Linders, W Schoutens - FEB Research …, 2014 - KU Leuven-Faculty of Economics …