Enregistré dans:
| Auteurs principaux: | , , , |
|---|---|
| Format: | Preprint |
| Publié: |
2023
|
| Sujets: | |
| Accès en ligne: | https://arxiv.org/abs/2303.13346 |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Table des matières:
- The goal of this paper is to investigate how the marginal and dependence structures of a variety of multivariate Lévy models affect calibration and pricing. To this aim, we study the approaches of Luciano and Semeraro (2010) and Ballotta and Bonfiglioli (2016) to construct multivariate processes. We explore several calibration methods that can be used to fine-tune the models, and that deal with the observed trade-off between marginal and correlation fit. We carry out a thorough empirical analysis to evaluate the ability of the models to fit market data, price exotic derivatives, and embed a rich dependence structure. By merging theoretical aspects with the results of the empirical test, we provide tools to make suitable decisions about the models and calibration techniques to employ in a real context.