Cost-efficiency in multivariate Lévy models

DOI10.1515/demo-2015-0001zbMath1320.91146OpenAlexW1188469793MaRDI QIDQ2351198

Viktor Wolf, Ludger Rüschendorf

Publication date: 23 June 2015

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2015-0001

zbMATH Keywords

basket optioncost-efficient strategiesmultivariate Lévy modelsmultivariate Esscher transform

Mathematics Subject Classification ID

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

Related Items (3)

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ On the Method of Optimal Portfolio Choice by Cost-Efficiency

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