Multivariate additive subordination with applications in finance

DOI10.1016/J.EJOR.2024.10.010MaRDI QIDQ6982358zbMATH OpenFDO

Authors Giovanni Amici, Laura Ballotta, Patrizia Semeraro

Publication date 19 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.10.010

zbMATH Keywords

additive subordinationcurrency trianglesfinancemultivariate stochastic processesoption pricing

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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Cited in

(2)

• Multivariate Lévy models: calibration and pricing
• The term structure of implied correlations between S\&P and VIX markets

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