Multivariate Factor-Based Processes With Sato Margins
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DOI: 10.1142/S021902491850005X
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References listed on IDEAS
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Cited by:
- Giovanni Amici & Paolo Brandimarte & Francesco Messeri & Patrizia Semeraro, 2023. "Multivariate L\'evy models: calibration and pricing," Papers 2303.13346, arXiv.org, revised Jan 2025.
- Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
- Patrizia Semeraro, 2022. "Multivariate tempered stable additive subordination for financial models," Mathematics and Financial Economics, Springer, volume 16, number 3, February.
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Keywords
Multivariate asset models; Lévy processes; Sato processes; nonlinear dependence;All these keywords.
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