Pricing foreign equity options under Lévy processes
Pricing foreign equity options under Lévy processes
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DOI：
10.1002/fut.20171
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发表时间：
2005-10
影响因子：
1.9
通讯作者：
Shian-Chang Huang;Mao-Wei Hung
中科院分区：
文献类型：
--
作者：
Shian-Chang Huang;Mao-Wei Hung
本文研究了一种外国股票期权的定价问题，该期权的价值取决于汇率和外国股票价格。假设这些潜在的价格过程是相关的，并由一个多维Levy过程驱动，一种方法适合于解决复杂的估值问题。首先，为了减少问题的维数，改变概率测度，将Levy过程的一些维数嵌入到定价测度中。其次，为了简化贴现终端收益的积分复杂性，将估值问题转化到傅立叶空间。本研究的主要贡献是，通过结合这两种方法，多元估值问题显着简化，并得到非常准确的结果相对较快。该方法也可应用于其他涉及Levy过程的多变量定价问题。© 2005 Wiley Periodicals，Inc. Jrl Fut Mark 25：917-944，2005
This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Levy process, a method suitable for solving the complex valuation problem is developed. First, to reduce the number of dimensions of the problem, the probability measure is changed to embed some dimensions of the Levy process into the pricing measure. Second, to simplify the integral complexity of the discounted terminal payoff, the valuation problem is transformed to Fourier space. The main contribution of this study is that by combining these two methods, the multivariate valuation problem is significantly simplified, and very accurate results are obtained relatively quickly. This powerful method can also be applied to other multivariate pricing problems involving Levy processes. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:917–944, 2005