Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process (Q4603524)
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scientific article; zbMATH DE number 6839455
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process |
scientific article; zbMATH DE number 6839455 |
Statements
15 February 2018
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multivariate norm tempered stable process
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multi-asset option
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stochastic volatility
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Lévy process
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risk-neutral pricing
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0.7901244163513184
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0.7437978386878967
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0.7248755097389221
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0.7236444354057312
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0.7220766544342041
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