Pricing Multidimensional Derivatives under Processes with Conditional Independent Increments

Event information
Venue:DM 409A


We discuss some ideas and preliminary results about pricing multidimensional financial contracts such as basket and spread options considering the dynamic of the underlying instruments driven by a variety of stochastic models, from multidimensional Black-Scholes with constant correlation to Levy models with finite and infinity activity, to stochastic covariance models with Levy background noise. Pricing methods such as Fast Fourier Transform and several approximated closed-form techniques will be considered, as well as some fitting methods using minimum distance estimations with applications to the modeling of oil prices.