Multivariate time changes for Lévy asset models: characterization and calibration

DOI10.1016/j.cam.2009.08.119zbMath1190.91168MaRDI QIDQ2654202

Elisa Luciano, Patrizia Semeraro

Publication date: 15 January 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.08.119

zbMATH Keywords

correlation; Lévy processes; dependence; multivariate subordinators; multivariate asset modelling; multivariate time changed processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G80: Financial applications of other theories

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