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Cost-efficiency in multivariate Lévy models

100%
Rüschendorf L., Wolf V.
Dependence Modeling
|
2015
|
tom 3
|
nr 1
EN
In this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This multivariate framework allows to deal with dependent price processes as arising in typical applications. Dependence of the components of the Lévy Process implies an influence even on the pricing of efficient versions of univariate payoffs.We state various relevant existence and uniqueness results for the Esscher parameter and determine cost efficient strategies in particular in the case of price processes driven by multivariate NIG- and VG-processes. From a monotonicity characterization of efficient payoffs we obtain that basket options are generally inefficient in Lévy markets when pricing is based on the Esscher measure.We determine efficient versions of the basket options in real market data and show that the proposed cost efficient strategies are also feasible from a numerical viewpoint. As a result we find that a considerable efficiency loss may arise when using the inefficient payoffs.
2
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Limiting distribution for a simple model of order book dynamics

84%
Kruk Ł.
Open Mathematics
|
2012
|
tom 10
|
nr 6
2283-2295
EN
A continuous-time model for the limit order book dynamics is considered. The set of outstanding limit orders is modeled as a pair of random counting measures and the limiting distribution of this pair of measure-valued processes is obtained under suitable conditions on the model parameters. The limiting behavior of the bid-ask spread and the midpoint of the bid-ask interval are also characterized.
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