Towards a Δ-Gamma Sato multivariate model
Lynn Boen, Florence Guillaume
| Year of publication: |
2020
|
|---|---|
| Authors: | Boen, Lynn ; Guillaume, Florence |
| Subject: | Multi-name option pricing | Multivariate Lévy models | Multivariate models with Sato marginals | Difference of Gamma processes | Self-similar processes | Calibration | Multivariate Analyse | Multivariate analysis | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-019-09155-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012229781