Multi-asset options with different payof functions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F18%3A43954693" target="_blank" >RIV/49777513:23510/18:43954693 - isvavai.cz</a>
Result on the web
<a href="https://mme2018.fm.vse.cz/" target="_blank" >https://mme2018.fm.vse.cz/</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Multi-asset options with different payof functions
Original language description
The paper deals with formulation of multi-asset option pricing problems with different payoff functions. Multi-variability is important concept in financial engineering as many non-standard structured products in the market are exposed to multiple source of randomness. Spot prices of underlying asset are assumed to follow geometric Brownian motion with correlation structure. Using traditional approach based on self-financing portfolio and application of Itˆo’s formula to option price we get resulting partial differential equation describing the evolution of option price in space and time. Most payoff functions are assumed to be non-negative convex function over a convex domain depending on underlying asset prices. Some typical examples of them are presented. Within a framework of multi-asset options a pricing of rainbow trend options was presented recently. In general, they are desirable to investors due to their diversification effects over different assets and time. We present the numerical implementation of pricing these options in Mathematica.
Czech name
—
Czech description
—

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
36-th International Conference Mathematical Methods in Economics, Conference Proceedings
ISBN
978-80-7378-371-6
ISSN
—
e-ISSN
neuvedeno
Number of pages
6
Pages from-to
300-305
Publisher name
MatfyzPress, Publishing House of the Faculty of Mathematics and Physics Charles University, Prague
Place of publication
Praha
Event location
Jindřichův Hradec
Event date
Sep 12, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—

Similar results(10)