Pages that link to "Item:Q2393159"
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The following pages link to The \(\alpha\)VG model for multivariate asset pricing: calibration and extension (Q2393159):
Displayed 11 items.
- Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing (Q889626) (← links)
- On risk measuring in the variance-gamma model (Q1688726) (← links)
- Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions (Q1715552) (← links)
- On computing the price of financial instruments in foreign currency (Q1796242) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412) (← links)
- Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497) (← links)
- CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (Q2874728) (← links)
- OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696) (← links)
- MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES (Q4634638) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)