The \(\alpha\)VG model for multivariate asset pricing: calibration and extension (Q2393159): Difference between revisions

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+https://doi.org/10.1007/s11147-012-9080-2
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+W2153999818
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@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
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+OPTION PRICING WITH VG–LIKE MODELS
@@ Property / cites work: OPTION PRICING WITH VG–LIKE MODELS / rank @@
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+A multivariate Lévy process model with linear correlation
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+A multivariate jump-driven financial asset model
@@ Property / cites work: A multivariate jump-driven financial asset model / rank @@
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+Multivariate time changes for Lévy asset models: characterization and calibration
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+Publication:2393159