Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719): Difference between revisions

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English	Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing	scientific article

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instance of

scholarly article

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title

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (English)

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Stochastic Processes and their Applications

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publication date

22 June 2017

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zbMATH Keywords

Lévy process

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multivariate subordination

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generalised gamma convolutions

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Thorin measure

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Esscher transformation

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Esscher invariance

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superposition

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option pricing

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spa.2016.10.008

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cites work

Identifying the successive Blumenthal-Getoor indices of a discretely observed process

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Lévy Processes and Stochastic Calculus

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Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations

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Multivariate subordination, self-decomposability and stability

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Q2738733

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Q4888858

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Q3276933

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Generalized gamma convolutions and related classes of distributions and densities

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On univariate and bivariate generalized gamma convolutions

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Q3184722

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Financial Modelling with Jump Processes

0 references

Q2738734

0 references

Esscher transform and the duality principle for multidimensional semimartingales

0 references

Minimal entropy preserves the Lévy property: how and why

0 references

Extending the multivariate generalised \(t\) and generalised \(VG\) distributions

0 references

On subordinated multivariate Gaussian Lévy processes

0 references

The \(\alpha\)VG model for multivariate asset pricing: calibration and extension

0 references

Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions

0 references

Numerical methods for Lévy processes

0 references

Q4323630

0 references

Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples

0 references

Quantile clocks

0 references

The cumulant process and Esscher's change of measure

0 references

A multivariate Lévy process model with linear correlation

0 references

Q4493303

0 references

On the shapes of bilateral gamma densities

0 references

Option pricing in bilateral Gamma stock models

0 references

Q5480578

0 references

Multivariate time changes for Lévy asset models: characterization and calibration

0 references

A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE

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The Variance Gamma Process and Option Pricing

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A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

0 references

A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE

0 references

On a multivariate gamma

0 references

Infinitely divisible multivariate and matrix gamma distributions

0 references

On series representations of infinitely divisible random vectors

0 references

Cost-efficiency in multivariate Lévy models

0 references

Q4937701

0 references

Bernstein functions. Theory and applications

0 references

A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS

0 references

Q4445977

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Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

0 references

On the infinite divisbility of the Pareto distribution

0 references

On the infinite divisibility of the lognormal distribution

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Activity signature functions for high-frequency data analysis

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Identifiers

zbMATH Open document ID

1370.60088

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DOI

10.1016/j.spa.2016.10.008

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2359719

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2016.10.008
+Normal rank
@@ Property / OpenAlex ID @@
+W2963686300
@@ Property / OpenAlex ID: W2963686300 / rank @@
+Normal rank
@@ Property / cites work @@
+Identifying the successive Blumenthal-Getoor indices of a discretely observed process
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
+Normal rank
@@ Property / cites work @@
+Multivariate subordination, self-decomposability and stability
+Normal rank
@@ Property / cites work @@
+Q2738733
@@ Property / cites work: Q2738733 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3276933
@@ Property / cites work: Q3276933 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized gamma convolutions and related classes of distributions and densities
+Normal rank
@@ Property / cites work @@
+On univariate and bivariate generalized gamma convolutions
+Normal rank
@@ Property / cites work @@
+Q3184722
@@ Property / cites work: Q3184722 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q2738734
@@ Property / cites work: Q2738734 / rank @@
+Normal rank
@@ Property / cites work @@
+Esscher transform and the duality principle for multidimensional semimartingales
+Normal rank
@@ Property / cites work @@
+Minimal entropy preserves the Lévy property: how and why
+Normal rank
@@ Property / cites work @@
+Extending the multivariate generalised \(t\) and generalised \(VG\) distributions
+Normal rank
@@ Property / cites work @@
+On subordinated multivariate Gaussian Lévy processes
+Normal rank
@@ Property / cites work @@
+The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
+Normal rank
@@ Property / cites work @@
+Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
+Normal rank
@@ Property / cites work @@
+Numerical methods for Lévy processes
@@ Property / cites work: Numerical methods for Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4323630
@@ Property / cites work: Q4323630 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
+Normal rank
@@ Property / cites work @@
+Quantile clocks
@@ Property / cites work: Quantile clocks / rank @@
+Normal rank
@@ Property / cites work @@
+The cumulant process and Esscher's change of measure
+Normal rank
@@ Property / cites work @@
+A multivariate Lévy process model with linear correlation
+Normal rank
@@ Property / cites work @@
+Q4493303
@@ Property / cites work: Q4493303 / rank @@
+Normal rank
@@ Property / cites work @@
+On the shapes of bilateral gamma densities
@@ Property / cites work: On the shapes of bilateral gamma densities / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in bilateral Gamma stock models
@@ Property / cites work: Option pricing in bilateral Gamma stock models / rank @@
+Normal rank
@@ Property / cites work @@
+Q5480578
@@ Property / cites work: Q5480578 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate time changes for Lévy asset models: characterization and calibration
+Normal rank
@@ Property / cites work @@
+A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
+Normal rank
@@ Property / cites work @@
+A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE
+Normal rank
@@ Property / cites work @@
+On a multivariate gamma
@@ Property / cites work: On a multivariate gamma / rank @@
+Normal rank
@@ Property / cites work @@
+Infinitely divisible multivariate and matrix gamma distributions
+Normal rank
@@ Property / cites work @@
+On series representations of infinitely divisible random vectors
+Normal rank
@@ Property / cites work @@
+Cost-efficiency in multivariate Lévy models
@@ Property / cites work: Cost-efficiency in multivariate Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Bernstein functions. Theory and applications
@@ Property / cites work: Bernstein functions. Theory and applications / rank @@
+Normal rank
@@ Property / cites work @@
+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
+Normal rank
@@ Property / cites work @@
+Q4445977
@@ Property / cites work: Q4445977 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
+Normal rank
@@ Property / cites work @@
+On the infinite divisbility of the Pareto distribution
+Normal rank
@@ Property / cites work @@
+On the infinite divisibility of the lognormal distribution
+Normal rank
@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
+Normal rank