MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS

DOI10.1142/S021902491850005XzbMath1395.91460OpenAlexW2789141915MaRDI QIDQ4608113

Marina Marena, Andrea Romeo, Patrizia Semeraro

Publication date: 15 March 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491850005x

zbMATH Keywords

Lévy processesnonlinear dependenceSato processesmultivariate asset models

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Multivariate tempered stable additive subordination for financial models

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