MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES

DOI10.1142/S0219024918500073zbMath1395.91444MaRDI QIDQ4634638

Florence Guillaume

Publication date: 11 April 2018

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

zbMATH Keywords

Lévy processesconvolutiondependence structurenormal mixtureSato processesmultivariate VG models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Towards a \(\Delta\)-Gamma Sato multivariate model, Multivariate tempered stable additive subordination for financial models, Building multivariate Sato models with linear dependence

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