In this paper, we develop a multivariate risk-neutral Levy process model and discuss its applicability in the context of the volatility smile of multiple assets. Our formulation is based upon a linear combination of independent univariate Levy processes and can easily be calibrated to a set of...

We introduce a variation of the proof for weak approximations that is suitable for studying the densities of stochastic processes which are evaluations of the flow generated by a stochastic differential equation on a random variable that maybe anticipating. Our main assumption is that the...