PRICING DERIVATIVES ON TWO-DIMENSIONAL LEVY PROCESSES

被引：10

作者：

Fajardo, Jose ^{[1
]}

Mordecki, Ernesto ^{[2
]}

机构：

[1] IBMEC Business Sch, Av Rio Branco 108, BR-20040001 Rio De Janeiro, Brazil

[2] Ctr Matemaat, Fac Ciencias, Montevideo 11400, Uruguay

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2006年 / 9卷 / 02期

关键词：

Levy processes; optimal stopping; dual market method; derivative pricing;

D O I：

10.1142/S0219024906003536

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Levy process. The main idea is to apply Girsanov's Theorem for Levy processes, in order to reduce the posed problem to a problem with one Levy driven stock in an auxiliary market, baptized as "dual market". In this way, we extend the results obtained by Gerber and Shiu [5] for two-dimensional Brownian motion.

引用

页码：185 / 197

页数：13

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