Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
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Publication:315041
DOI10.1007/s11147-015-9113-8zbMath1345.91075arXiv1210.5479OpenAlexW875885787MaRDI QIDQ315041
Publication date: 19 September 2016
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.5479
Lévy processesderivative pricingjoint asset and volatility derivativestarget volatility optiontime changesWishart process
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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