Multivariate time changes for Lévy asset models: characterization and calibration
From MaRDI portal
Publication:2654202
DOI10.1016/j.cam.2009.08.119zbMath1190.91168MaRDI QIDQ2654202
Elisa Luciano, Patrizia Semeraro
Publication date: 15 January 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.08.119
correlation; Lévy processes; dependence; multivariate subordinators; multivariate asset modelling; multivariate time changed processes
60G51: Processes with independent increments; Lévy processes
91G80: Financial applications of other theories
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