Abstract
This paper provides a multivariate Sato model for multivariate option pricing where the asset log-returns are expressed as Sato time changed Brownian motions and where the time change is the weighted sum of a common and an idiosyncratic component. This model presents the main advantage that it allows to replicate univariate option prices in both the strike and time to maturity dimensions. In particular it is able to t both the univariate option surfaces and the asset log-return dependence structure with high precision for a period ranging from June 2008 until October 2009 including therefore the credit crisis period.
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