Series representations for multivariate time-changed Lévy models

DOI10.1007/s11009-015-9461-8zbMath1360.60096OpenAlexW1224804998MaRDI QIDQ518858

Yong-Cai Geng, Sumit K. Garg

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9461-8

zbMATH Keywords

time-changed Lévy processLévy copulasubordinated Brownian motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Parametric inference (62F99) Brownian motion (60J65)

Related Items (2)

Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ Option pricing in time-changed Lévy models with compound Poisson jumps

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