Multi-Asset Equity Options

The feature of several underlying assets requires traders to incorporate the correlation matrix of underlying assets in multi-asset equity options pricing. In this thesis, Monte Carlo simulation methods are used in order to quantify the precision of multi-asset equity options pricing. The developed quantlets in XploRe are specific to three standard types of multi-asset equity options. Due to the lack of a liquid market for implied correlations, this thesis then aims to understand the correlation risk and risk hedging. I demonstrate the correlation risk by an application to three-asset equity options of the three standard types. Correlation vegas, defined as the first derivative of the option price to its underlying asset correlation matrix, are calculated numerically using the finite diffusion approximation technique and presented in temperature plots.

Grantor dc:publisher

Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät

Year dc:date.issued

2003

Author dc:creator

• Su, Xia

• Multi-Asset Equity Options
• Basket Options
• Max Options
• Min Options
• Monte Carlo Simulation
• Correlation Vega

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

eng

DOI

https://doi.org/10.18452/14052

OAI record oai:identifier

https://edoc.hu-berlin.de/server/oai/request?verb=GetRecord&metadataPrefix=dim&identifier=oai%3Aedoc.hu-berlin.de%3A18452%2F14704