Multivariate asset models using Lévy processes and applications
Laura Ballotta and Efrem Bonfiglioli
| Year of publication: |
October-December 2016
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|---|---|
| Authors: | Ballotta, Laura ; Bonfiglioli, Efrem |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 13/15, p. 1320-1350
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| Subject: | jump-diffusion process | Lévy processes | model calibration | multi-names derivative contracts | subordinated Brownian motions | time-changed Lévy processes | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative |