A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS

DOI10.1142/S0219024908004701zbMath1152.91548MaRDI QIDQ3520391

Patrizia Semeraro

Publication date: 26 August 2008

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

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• Preservation of association in multivariate shock and claim models
• A multivariate jump-driven financial asset model
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing

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