A Monte Carlo Multi-Asset Option Approximation for General Stochastic Processes
Abstract We derived a model-free analytical approximation of the price of a multi-asset option defined over an arbitrary multivariate...
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options (JBF - Vol 66)
Abstract Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper,...
Multivariate Truncated Moments (Journal of Multivariate Analysis - Vol 117, p.41-75)
Abstract
We derive formulae for the higher order tail moments of the lower truncated multivariate standard normal (MVSN), Student’s t, logno