Multivariate factor-based processes with Sato margins

DOI10.1142/S021902491850005XMaRDI QIDQ4608113zbMATH OpenOpenAlexFDO

Authors Marina Marena, Andrea Romeo, Patrizia Semeraro

Publication date 15 March 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491850005x

zbMATH Keywords

Lévy processesmultivariate asset modelsnonlinear dependenceSato processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Multivariate distribution of statistics (62H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A generalized variance gamma process for financial applications
• A multivariate jump-driven financial asset model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Dependence calibration and portfolio fit with factor-based subordinators
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Fourier space time-stepping for option pricing with Lévy models
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Lévy's probability measures on Banach spaces
• Multivariate subordination, self-decomposability and stability
• Multivariate time changes for Lévy asset models: characterization and calibration
• On mixtures of the normal distribution by the generalized gamma convolutions
• OPTION PRICING WITH VG–LIKE MODELS
• Sato processes and the valuation of structured products
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
• Towards a \(\Delta\)-Gamma Sato multivariate model

Cited in

(6)

• Towards a \(\Delta\)-Gamma Sato multivariate model
• Multivariate tempered stable additive subordination for financial models
• Multivariate option pricing models with Lévy and Sato VG marginal processes
• Building multivariate Sato models with linear dependence
• Multivariate Lévy models: calibration and pricing
• Multivariate additive subordination with applications in finance

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