Multivariate asset-pricing model based on subordinated stable processes

DOI10.1002/ASMB.2446MaRDI QIDQ6574613

Vladimir Panov, Evgenii Samarin

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

stable processesstochastic time changeLévy copulamultivariate subordinationmodeling asset-price dynamics

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Numerical calculation of stable densities and distribution functions
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• Financial Modelling with Jump Processes

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