Multivariate asset models using Lévy processes and applications

By Laura Ballotta, Efrem Bonfiglioli. 2012

85 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/88aebe937b2085bb67e68752c5705b5171fe67e0

Citations in the corpus

• A General Closed-Form Spread Option Pricing Formula (2013, unknown): “The parameterization of the L´evy measure used by Ballotta and Bonfiglioli (2012) is Given the parameterization above, the characteristic function of a VG process is If Y j ( t ), for j = 1 , 2 are two independent VG processes with parameters σ j , θ j , κ j and Z ( t ) a third independent VG…”