The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151)
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scientific article; zbMATH DE number 7372418
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The multivariate Variance Gamma model: basket option pricing and calibration |
scientific article; zbMATH DE number 7372418 |
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The multivariate Variance Gamma model: basket option pricing and calibration (English)
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16 July 2021
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basket option
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comonotonicity
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multivariate variance gamma
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multivariate calibration
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