PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES

Author:

FAJARDO JOSÉ1,MORDECKI ERNESTO2

Affiliation:

1. IBMEC Business School, Av. Rio Branco 108. CEP 20040 001. Rio de Janeiro, Brazil

2. Facultad de Ciencias, Centro de Matemática, Iguá 4225, CP 11400, Montevideo, Uruguay

Abstract

The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock in an auxiliary market, baptized as "dual market". In this way, we extend the results obtained by Gerber and Shiu [5] for two-dimensional Brownian motion.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

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