Towards a -Gamma Sato multivariate model

DOI10.1007/S11147-019-09155-YzbMATH Open1437.91425OpenAlexW2920611533MaRDI QIDQ2180296FDOQ2180296

Authors: Lynn Boen, Florence Guillaume 

Publication date: 13 May 2020

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-019-09155-y

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zbMATH Keywords

calibrationself-similar processesdifference of Gamma processesmulti-name option pricingmultivariate models with Sato marginalsmultivariate Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• SELF-DECOMPOSABILITY AND OPTION PRICING
• On a multivariate gamma
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Option pricing using variance gamma Markov chains
• Multivariate subordination, self-decomposability and stability
• Multivariate time changes for Lévy asset models: characterization and calibration
• MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES
• A multivariate jump-driven financial asset model
• OPTION PRICING WITH VG–LIKE MODELS
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
• Dependence calibration and portfolio fit with factor-based subordinators
• Integrated structural approach to credit value adjustment
• A multivariate pure-jump model with multi-factorial dependence structure
• A moment matching market implied calibration

Cited In (5)

• Building multivariate Sato models with linear dependence
• MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS
• MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES
• Multivariate tempered stable additive subordination for financial models
• Delta-method inference for a class of set-identified SVARs

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