Towards a \(\Delta\)-Gamma Sato multivariate model

DOI10.1007/s11147-019-09155-yzbMath1437.91425OpenAlexW2920611533MaRDI QIDQ2180296

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (4)

Multivariate tempered stable additive subordination for financial models ⋮ MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS ⋮ MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES ⋮ Building multivariate Sato models with linear dependence

Cites Work

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

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