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

DOI10.1142/S0219024912500288zbMath1246.91135OpenAlexW3123146883MaRDI QIDQ2909513

Roberto Marfe

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500288

zbMATH Keywords

correlationLévy processesdependencevariance gammamultivariate subordinatorsmultivariate asset pricingmulti-factorial modeling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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