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Search: subject:"Multivariate normal tempered stable process"
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Multivariate normal tempered stable process
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Kim, Young Shin
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Finance research letters
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Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Kurosaki, Tetsuo
;
Kim, Young Shin
- In:
Finance research letters
45
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014576824
Saved in:
2
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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