Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719): Difference between revisions
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Revision as of 00:07, 15 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing |
scientific article |
Statements
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (English)
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22 June 2017
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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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