PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES

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 Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy 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.

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Year of publication:	2006
Authors:	FAJARDO, JOSÉ ; MORDECKI, ERNESTO
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 02, p. 185-197
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Lévy processes \| optimal stopping \| dual market method \| derivative pricing

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971778