文章基本信息

标题：A recursive pricing method for autocallables under multivariate subordination
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作者：Nanda Triandita ; Fransiska R.Zakaria ; Endang Prangdimurti 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2019
卷号：3
期号：3
页码：440-455
DOI：10.3934/QFE.2019.3.440
语种：English
出版社：AIMS Press
摘要：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 Lévy subordinator, we construct a new process by time changing each of the OU processes with a coordinate of the Lévy 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 Lévy 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.
关键词：autocallables;multivariate assets;eigenfunction expansion;multivariate subordination;stochastic time change;OU process;jump diffusion