Towards a \(\Delta\)-Gamma Sato multivariate model (Q2180296): Difference between revisions

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+Integrated structural approach to credit value adjustment
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+Multivariate subordination, self-decomposability and stability
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+SELF-DECOMPOSABILITY AND OPTION PRICING
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+OPTION PRICING WITH VG–LIKE MODELS
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+The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
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+MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES
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+A moment matching market implied calibration
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+Option pricing using variance gamma Markov chains
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+Dependence calibration and portfolio fit with factor-based subordinators
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+A multivariate jump-driven financial asset model
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+Multivariate time changes for Lévy asset models: characterization and calibration
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+A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE
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+On a multivariate gamma
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+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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