Pages that link to "Item:Q5001151"
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The following pages link to The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151):
Displayed 14 items.
- Lévy copulae for financial returns (Q727660) (← links)
- On lower partial moments for the investment portfolio with variance-gamma distributed returns (Q2113612) (← links)
- Comonotonic asset prices in arbitrage-free markets (Q2279857) (← links)
- Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
- A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk (Q2698069) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
- A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps (Q5034147) (← links)
- American-type basket option pricing: a simple two-dimensional partial differential equation (Q5235458) (← links)
- BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)
- Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)