Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing

DOI10.1016/j.spa.2016.10.008zbMath1370.60088OpenAlexW2963686300MaRDI QIDQ2359719

Benjamin Kaehler, Boris Buchmann, Alexander Szimayer, Ross A. Maller

Publication date: 22 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.10.008

zbMATH Keywords

option pricingsuperpositionLévy processEsscher transformationThorin measuremultivariate subordinationgeneralised gamma convolutionsEsscher invariance

Mathematics Subject Classification ID

Related Items (13)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Hitting probabilities of weighted Poisson processes with different intensities and their subordinations ⋮ OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ Calibration for weak variance-alpha-gamma processes ⋮ On some distributional properties of subordinated Gaussian random fields ⋮ Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions ⋮ Marginal consistent dependence modelling using weak subordination for Brownian motions ⋮ MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS ⋮ Self-decomposability of weak variance generalised gamma convolutions ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ Building multivariate Sato models with linear dependence ⋮ Dependence calibration and portfolio fit with factor-based subordinators ⋮ Necessity of weak subordination for some strongly subordinated Lévy processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quantile clocks
• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• On univariate and bivariate generalized gamma convolutions
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• On series representations of infinitely divisible random vectors
• On the shapes of bilateral gamma densities
• Numerical methods for Lévy processes
• Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
• Esscher transform and the duality principle for multidimensional semimartingales
• On subordinated multivariate Gaussian Lévy processes
• Extending the multivariate generalised \(t\) and generalised \(VG\) distributions
• On a multivariate gamma
• Generalized gamma convolutions and related classes of distributions and densities
• The cumulant process and Esscher's change of measure
• Infinitely divisible multivariate and matrix gamma distributions
• Cost-efficiency in multivariate Lévy models
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
• Minimal entropy preserves the Lévy property: how and why
• Activity signature functions for high-frequency data analysis
• Multivariate time changes for Lévy asset models: characterization and calibration
• Multivariate subordination, self-decomposability and stability
• A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE
• Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
• Option pricing in bilateral Gamma stock models
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
• A multivariate Lévy process model with linear correlation
• On the infinite divisbility of the Pareto distribution
• On the infinite divisibility of the lognormal distribution
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• The Variance Gamma Process and Option Pricing
• Bernstein functions. Theory and applications

This page was built for publication: Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing