A multivariate jump-driven financial asset model

DOI10.1080/14697680600806275zbMath1134.91446OpenAlexW3124378112MaRDI QIDQ3437395

Wim Schoutens, Elisa Luciano

Publication date: 9 May 2007

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

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22085

zbMATH Keywords

Lévy processescopulasmultivariate asset modellingrisk neutral dependence

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Option Pricing With V. G. Martingale Components¹
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Liquidity and credit risk
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing

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