Multivariate option pricing models with Lévy and Sato VG marginal processes (Q4634638)
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scientific article; zbMATH DE number 6858060
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| English | Multivariate option pricing models with Lévy and Sato VG marginal processes |
scientific article; zbMATH DE number 6858060 |
Statements
MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES (English)
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11 April 2018
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multivariate VG models
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Sato processes
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Lévy processes
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dependence structure
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convolution
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normal mixture
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0.8310390710830688
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0.8067665696144104
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0.8042213320732117
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0.8041256070137024
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0.7927911281585693
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