Title: Multivariate Smiling
Authors: Leoni, Peter
Schoutens, Wim
Issue Date: 31-May-2007
Publisher: K.U.Leuven of Statistics Technical Report
Series Title: vol:07 issue:05
Abstract: The paper presents an application of the Variance Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular,
we focus on the pricing differences for several exotic structures between the MultiVariate Variance-Gamma Model and the MultiVariate Black-Scholes Flat Volatility Model.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Statistics Section

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