Multivariate Lévy processes with dependent jump intensity
DOI10.1080/14697688.2011.606822zbMath1402.91804OpenAlexW1972184813MaRDI QIDQ5245898
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.606822
correlationLévy processesdependencenon-Gaussian distributionsmultivariate subordinatorsmultivariate asset pricing
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
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