Towards a \(\Delta\)-Gamma Sato multivariate model (Q2180296)
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scientific article; zbMATH DE number 7200424
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| English | Towards a \(\Delta\)-Gamma Sato multivariate model |
scientific article; zbMATH DE number 7200424 |
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Towards a \(\Delta\)-Gamma Sato multivariate model (English)
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13 May 2020
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multi-name option pricing
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multivariate Lévy models
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multivariate models with Sato marginals
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difference of Gamma processes
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self-similar processes
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calibration
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0.86624736
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0.86372226
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0.84487164
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0.8370746
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0.83683795
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