In this paper we develop a new class of models for pricing autocallables based on multivariate subordinate Orstein Uhlenbeck (OU) processes. Starting from d independent OU processes and an independent d-dimensional Levy subordinator, we construct a new process by time changing each of the OU processes with a coordinate of the Levy subordinator. The prices of underlying assets are then modeled as an exponential function of the subordinate processes. The new models introduce state-dependent jumps in the asset prices and the dependence among jumps is governed by the Levy measure of the d-dimensional subordinator. By employing the eigenfunction expansion technique, we are able to derive the analytical formulas for the worst-of autocallable prices. We also numerically implement a specific model and test its sensitivity to some of the key parameters of the model.

中文翻译：

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多元从属下汽车可赎回价格的递归定价方法

在本文中，我们基于多元从属Orstein Uhlenbeck（OU）流程，开发了一类用于对自动赎回权定价的模型。从d个独立的OU流程和一个独立的d维Levy隶属关系开始，我们通过在Levy隶属关系的坐标下时间更改每个OU过程来构造一个新流程。然后将基础资产的价格建模为下级过程的指数函数。新模型引入了资产价格中与状态有关的跳跃，而跳跃之间的依赖性由d维从属的征费度量控制。通过使用本征函数展开技术，我们能够得出最差的可自动调用价格的解析公式。