CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (Q2874728)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM |
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CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (English)
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8 August 2014
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volatility smile
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asset price dynamics
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time-changed Brownian motion
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multivariate non-Gaussian processes
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multivariate Esscher transform
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