Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10427"
  #_source: array:26 [
    "id" => "10427"
    "slug" => "multivariate-option-pricing-with-time-varying-volatility-and-correlations"
    "yearMonth" => "2011-09"
    "year" => "2011"
    "title" => "Multivariate Option Pricing with Time Varying Volatility and Correlations"
    "description" => "ROMBOUTS, J. et STENTOFT, L. (2011). Multivariate Option Pricing with Time Varying Volatility and Correlations. <i>Journal of Banking & Finance</i>, 35(9), pp. 2267-2281."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "ROMBOUTS Jeroen"
        "bid" => "B00469813"
        "slug" => "rombouts-jeroen"
      ]
      1 => array:1 [
        "name" => "STENTOFT Lars"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "Multivariate risk premia"
      1 => "Option pricing"
      2 => "GARCH models"
    ]
    "updatedAt" => "2021-07-13 14:31:35"
    "publicationUrl" => "https://doi.org/10.1016/j.jbankfin.2011.01.025"
    "publicationInfo" => array:3 [
      "pages" => "2267-2281"
      "volume" => "35"
      "number" => "9"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "In this paper we consider option pricing using multivariate models for asset returns. Specifically, we demonstrate the existence of an equivalent martingale measure, we characterize the risk neutral dynamics, and we provide a feasible way for pricing options in this framework. Our application confirms the importance of allowing for dynamic correlation, and it shows that accommodating correlation risk and modeling non-Gaussian features with multivariate mixtures of normals substantially changes the estimated option prices."
      "en" => "In this paper we consider option pricing using multivariate models for asset returns. Specifically, we demonstrate the existence of an equivalent martingale measure, we characterize the risk neutral dynamics, and we provide a feasible way for pricing options in this framework. Our application confirms the importance of allowing for dynamic correlation, and it shows that accommodating correlation risk and modeling non-Gaussian features with multivariate mixtures of normals substantially changes the estimated option prices."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-11-21T15:21:45.000Z"
    "docTitle" => "Multivariate Option Pricing with Time Varying Volatility and Correlations"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/rombouts-jeroen">ROMBOUTS Jeroen</a>, STENTOFT Lars"
    "docDescription" => "<span class="document-property-authors">ROMBOUTS Jeroen, STENTOFT Lars</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2011</span>"
    "keywordList" => "<a href="#">Multivariate risk premia</a>, <a href="#">Option pricing</a>, <a href="#">GARCH models</a>"
    "docPreview" => "<b>Multivariate Option Pricing with Time Varying Volatility and Correlations</b><br><span>2011-09 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jbankfin.2011.01.025" target="_blank">Multivariate Option Pricing with Time Varying Volatility and Correlations</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.68352
  +"parent": null
}