{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/110598"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/110598","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Herd behavior index for bespoke baskets: approximation via convex ordering","abstract":"In this thesis we investigate the problem of measuring dependence between stock prices only based on today's vanilla options by applying the Herd Behavior Index in bespoke baskets. The HIX is a measure of implied degree of co-movement of stocks over a given time and could be used to indicate the level of positive dependence between stocks. The calculation of the HIX requires the market data of option on each component stock and option on the basket. However, for bespoke baskets, there are only vanilla options but not basket options traded in the market. Hence, in order to calculate its HIX, we need an approach for efficient basket option pricing. In the multivariate Variance Gamma model framework, we price the bespoke basket option via convex order and comonotonic approximations which serve the purpose. We then calibrate two customized baskets using market data from 2007 to 2011. The resulting HIX indicates potential hedging possibility even during the financial crisis when most stocks are expected to move down at the same time.","abstract_html":"In this thesis we investigate the problem of measuring dependence between stock prices only based on today's vanilla options by applying the Herd Behavior Index in bespoke baskets. The HIX is a measure of implied degree of co-movement of stocks over a given time and could be used to indicate the level of positive dependence between stocks. The calculation of the HIX requires the market data of option on each component stock and option on the basket. However, for bespoke baskets, there are only vanilla options but not basket options traded in the market. Hence, in order to calculate its HIX, we need an approach for efficient basket option pricing. In the multivariate Variance Gamma model framework, we price the bespoke basket option via convex order and comonotonic approximations which serve the purpose. We then calibrate two customized baskets using market data from 2007 to 2011. The resulting HIX indicates potential hedging possibility even during the financial crisis when most stocks are expected to move down at the same time.","abstract_has_math":false,"creators":["Li, Churui"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Actuarial Science","degree_department":null,"school":null,"contributors":["Linders, Daniël","Chong, Alfred"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2021,"date_issued":"2021-09-17T01:13:33Z","date_published":"2021-09-17T01:13:33Z","updated_at":"2026-07-22T22:24:52Z","subjects":["implied dependence, comonotonicity, multivariate modeling, calibration"],"languages":["en"],"rights":["Copyright 2021 Churui Li"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/110598","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Linders, Daniël","Chong, Alfred"]},{"key":"dc:creator","label":"Author","values":["Li, Churui"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2021-09-17T01:13:33Z","2021-04-30","2021-05"]},{"key":"dc:type","label":"Dc Type","values":["text","Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Actuarial Science"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["implied dependence, comonotonicity, multivariate modeling, calibration"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2021 Churui Li"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/110598"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["In this thesis we investigate the problem of measuring dependence between stock prices only based on today's vanilla options by applying the Herd Behavior Index in bespoke baskets. The HIX is a measure of implied degree of co-movement of stocks over a given time and could be used to indicate the level of positive dependence between stocks. The calculation of the HIX requires the market data of option on each component stock and option on the basket. However, for bespoke baskets, there are only vanilla options but not basket options traded in the market. Hence, in order to calculate its HIX, we need an approach for efficient basket option pricing. In the multivariate Variance Gamma model framework, we price the bespoke basket option via convex order and comonotonic approximations which serve the purpose. We then calibrate two customized baskets using market data from 2007 to 2011. The resulting HIX indicates potential hedging possibility even during the financial crisis when most stocks are expected to move down at the same time.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2021-09-16 without embargo terms","The student, Churui Li, accepted the attached license on 2021-04-30 at 14:53.","The student, Churui Li, submitted this Thesis for approval on 2021-04-30 at 16:16.","This Thesis was approved for publication on 2021-04-30 at 16:27.","DSpace SAF Submission Ingestion Package generated from Vireo submission #16611 on 2021-09-16 at 16:49:26","Made available in DSpace on 2021-09-17T01:13:33Z (GMT). No. of bitstreams: 2 LI-THESIS-2021.pdf: 330733 bytes, checksum: 3a266368f9f4c3f67e883aaa3a7e3473 (MD5) LICENSE.txt: 4206 bytes, checksum: 73f6b8b30a528fa2fc9b62bc4f60a575 (MD5) Previous issue date: 2021-04-30"]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Herd behavior index for bespoke baskets: approximation via convex ordering"]}]}],"canonical_facts":{"dc:contributor":["Linders, Daniël","Chong, Alfred"],"dc:creator":["Li, Churui"],"dc:date":["2021-09-17T01:13:33Z","2021-04-30","2021-05"],"dc:description":["In this thesis we investigate the problem of measuring dependence between stock prices only based on today's vanilla options by applying the Herd Behavior Index in bespoke baskets. The HIX is a measure of implied degree of co-movement of stocks over a given time and could be used to indicate the level of positive dependence between stocks. The calculation of the HIX requires the market data of option on each component stock and option on the basket. However, for bespoke baskets, there are only vanilla options but not basket options traded in the market. Hence, in order to calculate its HIX, we need an approach for efficient basket option pricing. In the multivariate Variance Gamma model framework, we price the bespoke basket option via convex order and comonotonic approximations which serve the purpose. We then calibrate two customized baskets using market data from 2007 to 2011. The resulting HIX indicates potential hedging possibility even during the financial crisis when most stocks are expected to move down at the same time.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2021-09-16 without embargo terms","The student, Churui Li, accepted the attached license on 2021-04-30 at 14:53.","The student, Churui Li, submitted this Thesis for approval on 2021-04-30 at 16:16.","This Thesis was approved for publication on 2021-04-30 at 16:27.","DSpace SAF Submission Ingestion Package generated from Vireo submission #16611 on 2021-09-16 at 16:49:26","Made available in DSpace on 2021-09-17T01:13:33Z (GMT). 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