A multivariate Lévy process model with linear correlation

DOI10.1080/14697680902744729zbMath1176.91165OpenAlexW2070965097MaRDI QIDQ3645200

Reiichiro Kawai

Publication date: 16 November 2009

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

Full work available at URL: http://hdl.handle.net/2381/8018

zbMATH Keywords

model calibrationmathematical financestochastic jumpsnon-Gaussian option pricingnon-Gaussian distributionsmultivariate volatilityvolatility modellingimplementation of pricing

Mathematics Subject Classification ID

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

Related Items (11)

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ A generalized variance gamma process for financial applications ⋮ A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE ⋮ The \(\alpha\)VG model for multivariate asset pricing: calibration and extension ⋮ Calibration for weak variance-alpha-gamma processes ⋮ Lévy Copulas: Review of Recent Results ⋮ MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ Building multivariate Sato models with linear dependence ⋮ Multivariate Lévy processes with dependent jump intensity ⋮ CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

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