Option Pricing and Portfolio Optimization under a Multi-Asset Jump-Diffusion Model with Systemic Risk

Option Pricing and Portfolio Optimization under a Multi-Asset Jump-Diffusion Model with Systemic Risk

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a major ma...

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Bibliographic Details
Main Author: Roman N. Makarov
Format: Article
Language:English
Published: MDPI AG 2023-12-01
Series:Risks
Subjects:
multi-asset pricing model
jump-diffusion process
maximum likelihood estimation
systemic risk
Value at Risk
portfolio optimization
Online Access:https://www.mdpi.com/2227-9091/11/12/217

Internet

https://www.mdpi.com/2227-9091/11/12/217

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