Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform (Q2874728)
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scientific article; zbMATH DE number 6328004
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform |
scientific article; zbMATH DE number 6328004 |
Statements
8 August 2014
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volatility smile
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asset price dynamics
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time-changed Brownian motion
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multivariate non-Gaussian processes
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multivariate Esscher transform
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Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform (English)
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