The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
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Publication:2393159
DOI10.1007/s11147-012-9080-2zbMath1269.91100MaRDI QIDQ2393159
Publication date: 7 August 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-012-9080-2
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B82: Statistical methods; economic indices and measures
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Cites Work
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- A multivariate jump-driven financial asset model
- A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
- OPTION PRICING WITH VG–LIKE MODELS
- A multivariate Lévy process model with linear correlation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Stochastic Volatility for Lévy Processes
