Abstracts

In this paper, we study the pricing of products written on several assets with a multivariate exponential Lévy model. Using the Esscher transform for multidimensional semimartingales, we relate Exchange and Quanto options to European call and Put options. We derive an FFT based pricing formula for Exchange and Quanto options. We present a fast calibration method to the Vanilla market and to the Exchange and Quanto market. We illustrate this method in a subordinated Brownian motion framework with as particular examples the Variance Gamma and the Normal Inverse Gaussian models.