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The multivariate Variance Gamma model: basket option pricing and calibration - MaRDI portal

The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151)

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scientific article; zbMATH DE number 7372418
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English
The multivariate Variance Gamma model: basket option pricing and calibration
scientific article; zbMATH DE number 7372418

    Statements

    title
    The multivariate Variance Gamma model: basket option pricing and calibration (English)
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    author
    Daniël Linders
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    Ben Stassen
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    publication date
    16 July 2021
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    zbMATH Keywords
    basket option
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    comonotonicity
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    multivariate variance gamma
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    multivariate calibration
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    62P05
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    62H10
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    zbMATH DE Number
    7372418
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    OpenAlex ID
    W1831503339
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