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Pricing multivariate barrier reverse convertibles with factor-based subordinators
Journal of Computational Finance ( IF 0.8 ) Pub Date : 2018-01-01 , DOI: 10.21314/jcf.2018.344
Marina Marena , Andrea Romeo , Patrizia Semeraro

In this paper we study factor-based subordinated Levy processes in their VG and NIG specifications, and focus on their ability to price multivariate exotic derivatives. Different model specifications, calibrated to a dataset of multivariate Barrier Reverse Convertibles listed at the Swiss market, show diverse ability in capturing smile patterns and recovering empirical correlations. We show how the range of the correlation spanned by the model is linked to the process marginal distributions. Our analysis finds that there exists a trade-off between marginal and correlation fit. A sensitivity analysis is performed, showing how the product's characteristics and the model's features affect Multi Barrier Reverse Convertible prices. Market and model prices are analyzed, highlighting and explaining discrepancies.

中文翻译:

使用基于因子的从属者为多元障碍反向可转换债券定价

在本文中,我们研究了 VG 和 NIG 规范中基于因子的从属 Levy 过程,并重点关注它们为多元奇异衍生品定价的能力。根据瑞士市场上市的多元 Barrier Reverse Convertibles 数据集校准的不同模型规格在捕捉微笑模式和恢复经验相关性方面表现出不同的能力。我们展示了模型跨越的相关范围如何与过程边缘分布相关联。我们的分析发现边际拟合和相关拟合之间存在权衡。执行敏感性分析,显示产品的特征和模型的特征如何影响多障碍反向可转换价格。分析市场和模型价格,突出并解释差异。
更新日期:2018-01-01
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