Pricing multivariate contingent claims using estimated risk–neutral density functions
提出一种灵活的非线性最小二乘定价技术，通过估计多变量风险中性密度函数来为多变量或有债权定价，并用1993-1994年外汇汇率数据验证该方法比标准方法更准确。
Many asset price series exhibit time-varying volatility, jumps and other features inconsistent with assumptions about the underlying price process made by standard multivariate contingent claims (MVCC) pricing models. This article develops an interpolative technique for pricing MVCCs — flexible NLS pricing — that involves the estimation of a flexible multivariate risk–neutral density function implied by existing asset prices. As an application, the flexible NLS pricing technique is used to value several bivariate contingent claims dependent on foreign exchange rates in 1993 and 1994. The bivariate flexible risk–neutral density function more accurately prices existing options than the bivariate log-normal density implied by a multivariate geometric Brownian motion. In addition, the bivariate contingent claims analyzed have substantially different prices using the two density functions suggesting flexible NLS pricing may improve accuracy over standard methods.