A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE

DOI10.1142/S0219024912500288zbMath1246.91135MaRDI QIDQ2909513

Roberto Marfe

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500288

zbMATH Keywords

correlation; Lévy processes; dependence; variance gamma; multivariate subordinators; multivariate asset pricing; multi-factorial modeling

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES, Unnamed Item, A Structural Approach to Default Modelling with Pure Jump Processes, Building multivariate Sato models with linear dependence, Towards a \(\Delta\)-Gamma Sato multivariate model, Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing

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