A multivariate Lévy process model with linear correlation (Q3645200)
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scientific article; zbMATH DE number 5633781
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A multivariate Lévy process model with linear correlation |
scientific article; zbMATH DE number 5633781 |
Statements
A multivariate Lévy process model with linear correlation (English)
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16 November 2009
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volatility modelling
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stochastic jumps
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non-Gaussian option pricing
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non-Gaussian distributions
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multivariate volatility
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model calibration
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mathematical finance
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implementation of pricing
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0.7989881038665771
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0.7876551151275635
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0.7870038747787476
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0.7859172224998474
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0.7721707224845886
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