Valuación de opciones arcoíris sobre canastas de activos bajo procesos de difusión con saltos

Adriana Zambrano Reyes; Francisco Venegas Martínez

doi:10.1016/j.cya.2015.11.007

Valuación de opciones arcoíris sobre canastas de activos bajo procesos de difusión con saltos

Translated title of the contribution: Pricing rainbow options on baskets of assets under mixed diffusion-jump processes

Adriana Zambrano Reyes, Francisco Venegas Martínez

Escuela Superior de Economía (ESE)

Research output: Contribution to journal › Article › peer-review

Abstract

This paper studies the pricing of options on the maximum or minimum (price or return) of two risky assets, known as rainbow options. It extends the valuation of these contracts to the case where assets are driven by diffusions combined with jumps. The parameters of the jump process are stochastic, specifically the jump size follows a Normal distribution, making it necessary to resort to Lévy processes. A numerical methodology is developed with MATLAB to provided the price of a basket sale option, and put on the maximum and the minimum of two risky assets; the results can be extended to the case of n assets.

Translated title of the contribution	Pricing rainbow options on baskets of assets under mixed diffusion-jump processes
Original language	Spanish
Pages (from-to)	374-390
Number of pages	17
Journal	Contaduria y Administracion
Volume	61
Issue number	2
DOIs	https://doi.org/10.1016/j.cya.2015.11.007
State	Published - 1 Apr 2016

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title = "Valuaci{\'o}n de opciones arco{\'i}ris sobre canastas de activos bajo procesos de difusi{\'o}n con saltos",

abstract = "This paper studies the pricing of options on the maximum or minimum (price or return) of two risky assets, known as rainbow options. It extends the valuation of these contracts to the case where assets are driven by diffusions combined with jumps. The parameters of the jump process are stochastic, specifically the jump size follows a Normal distribution, making it necessary to resort to L{\'e}vy processes. A numerical methodology is developed with MATLAB to provided the price of a basket sale option, and put on the maximum and the minimum of two risky assets; the results can be extended to the case of n assets.",

keywords = "L{\'e}vy processes, Mixed diffusion-jumps processs, Partial integro-differential equation, Rainbow options",

author = "{Zambrano Reyes}, Adriana and {Venegas Mart{\'i}nez}, Francisco",

note = "Publisher Copyright: {\textcopyright} 2015 Universidad Nacional Aut{\'o}noma de M{\'e}xico, Facultad de Contadur{\'i}a y Administraci{\'o}n.",

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AU - Venegas Martínez, Francisco

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Y1 - 2016/4/1

N2 - This paper studies the pricing of options on the maximum or minimum (price or return) of two risky assets, known as rainbow options. It extends the valuation of these contracts to the case where assets are driven by diffusions combined with jumps. The parameters of the jump process are stochastic, specifically the jump size follows a Normal distribution, making it necessary to resort to Lévy processes. A numerical methodology is developed with MATLAB to provided the price of a basket sale option, and put on the maximum and the minimum of two risky assets; the results can be extended to the case of n assets.

AB - This paper studies the pricing of options on the maximum or minimum (price or return) of two risky assets, known as rainbow options. It extends the valuation of these contracts to the case where assets are driven by diffusions combined with jumps. The parameters of the jump process are stochastic, specifically the jump size follows a Normal distribution, making it necessary to resort to Lévy processes. A numerical methodology is developed with MATLAB to provided the price of a basket sale option, and put on the maximum and the minimum of two risky assets; the results can be extended to the case of n assets.

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JO - Contaduria y Administracion

JF - Contaduria y Administracion

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ER -

Valuación de opciones arcoíris sobre canastas de activos bajo procesos de difusión con saltos

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