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The αVG model for multivariate...
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Multivariate option pricing models with Lévy and Sato VG marginal processes
Guillaume, Florence
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011854500
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Building multivariate Sato models with linear dependence
Boen, Lynn
;
Guillaume, Florence
- In:
Quantitative finance
19
(
2019
)
4
,
pp. 619-645
Persistent link: https://www.econbiz.de/10012194701
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