Towards a $$\Delta $$Δ-Gamma Sato multivariate model
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DOI: 10.1007/s11147-019-09155-y
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More about this item
Keywords
Multi-name option pricing; Multivariate Lévy models; Multivariate models with Sato marginals; Difference of Gamma processes; Self-similar processes; Calibration;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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