Towards a \(\Delta\)-Gamma Sato multivariate model
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Publication:2180296
DOI10.1007/s11147-019-09155-yzbMath1437.91425OpenAlexW2920611533MaRDI QIDQ2180296
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
calibrationself-similar processesdifference of Gamma processesmulti-name option pricingmultivariate Lévy modelsmultivariate models with Sato marginals
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
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