Pricing and hedging basket options to prespecified levels of acceptability
定义了嵌入标普500期权中的压力水平概念，并用MINMAXVAR压力函数举例，研究了七种联合分布模型，发现将篮子期权静态对冲至特定可接受水平能大幅降低其报价。
The concept of stress levels embedded in S&P500 options is defined and illustrated with explicit constructions. The particular example of a stress function used is MINMAXVAR. Seven joint laws for the top 50 stocks in the index are considered. The first time changes a Gaussian one factor copula. The remaining six employ correlated Brownian motion independently time changed in each coordinate. Four models use daily returns, either run as Lévy processes or scaled to the option maturity. The last two employ risk-neutral marginals from the VGSSD and CGMYSSD Sato processes. The smallest stress function uses CGMYSSD risk-neutral marginals and Lévy correlation. Running the Lévy process yields a lower stress surface than scaling to the option maturity. Static hedging of basket options to a particular level of acceptability is shown to substantially lower the price at which the basket option may be offered.