Some Remarks on Two - Asset Options Pricing and Stochastic Dependence of Asset Prices

Posted: 26 Nov 2007

See all articles by Grégory Rapuch

Grégory Rapuch

affiliation not provided to SSRN

Thierry Roncalli

Amundi Asset Management; University of Evry

Abstract

In this short note, we consider some problems of two - asset options pricing. In particular, we investigate the relationship between options prices and the 'correlation' parameter in the Black - Scholes model. Then, we consider the general case in the framework of the copula construction of risk - neutral distributions. This extension involves results on the supermodular order applied to the Feynman - Kac representation. We show that it could be viewed as a generalization of a maximum principle for parabolic PDE.

Keywords: Copulas, two-asset options, Spread, Basket, Min, Max, Best Of, Worst Of, supermodular order, concordance order, Fréchet bounds, Feynman-Kac representation, maximum principle, parabolic PDE

JEL Classification: G00

Suggested Citation

Rapuch, Grégory and Roncalli, Thierry, Some Remarks on Two - Asset Options Pricing and Stochastic Dependence of Asset Prices. Journal of Computational Finance, Vol. 7, No. 4, 2004. Available at SSRN: https://ssrn.com/abstract=1032586

Grégory Rapuch

affiliation not provided to SSRN ( email )

No Address Available

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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