A generalized variance gamma process for financial applications

DOI10.1080/14697688.2010.505199zbMath1241.91148OpenAlexW2165092670MaRDI QIDQ2893076

Roberto Marfe

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.505199

zbMATH Keywords

correlationLévy processesdependencevariance gammamultivariate subordinatorsmultivariate asset pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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