Handle URI:
http://hdl.handle.net/10754/624830
Title:
Basket call option pricing for CCVG using sparse grids
Authors:
Crocce, Fabian; Häppölä, Juho; Iania, Alessandro; Tempone, Raul ( 0000-0003-1967-4446 )
Abstract:
The use of processes with jumps to overcome the shortcomings of the classical Black and Scholes when modelling stock prices has became very popular. One of the best-known models is the Common Clock Variance Gamma model (CCVG), introduced by Madan and Seneta in the 1990 [3]. We propose a method to price European basket call options modelled by the CCVG. The method could be extended to other model obtained by the subordination of a multidimensional Brownian motion and to more general options. To simplify the expositions we consider calls under the CCVG.
KAUST Department:
Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
Issue Date:
6-Jan-2016
Type:
Poster
Appears in Collections:
Posters; Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

Full metadata record

DC FieldValue Language
dc.contributor.authorCrocce, Fabianen
dc.contributor.authorHäppölä, Juhoen
dc.contributor.authorIania, Alessandroen
dc.contributor.authorTempone, Raulen
dc.date.accessioned2017-06-08T06:32:28Z-
dc.date.available2017-06-08T06:32:28Z-
dc.date.issued2016-01-06-
dc.identifier.urihttp://hdl.handle.net/10754/624830-
dc.description.abstractThe use of processes with jumps to overcome the shortcomings of the classical Black and Scholes when modelling stock prices has became very popular. One of the best-known models is the Common Clock Variance Gamma model (CCVG), introduced by Madan and Seneta in the 1990 [3]. We propose a method to price European basket call options modelled by the CCVG. The method could be extended to other model obtained by the subordination of a multidimensional Brownian motion and to more general options. To simplify the expositions we consider calls under the CCVG.en
dc.titleBasket call option pricing for CCVG using sparse gridsen
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateJanuary 5-10, 2016en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)en
dc.conference.locationKAUSTen
kaust.authorCrocce, Fabianen
kaust.authorHäppölä, Juhoen
kaust.authorIania, Alessandroen
kaust.authorTempone, Raulen
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