Multivariate time changes for Lévy asset models: characterization and calibration

DOI10.1016/j.cam.2009.08.119zbMath1190.91168OpenAlexW2088248745MaRDI QIDQ2654202

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

zbMATH Keywords

correlation Lévy processes dependence multivariate subordinators multivariate asset modelling multivariate time changed processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

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