A generalized variance gamma process for financial applications
type: Item
instance of: scholarly article
title: A generalized variance gamma process for financial applications
zbMATH Open document ID: 1241.91148
DOI: 10.1080/14697688.2010.505199
author: Roberto Marfè
published in: Quantitative Finance
publication date: 2012-06-25T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6049738
zbMATH Keywords: Lévy processes
zbMATH Keywords: multivariate subordinators
zbMATH Keywords: dependence
zbMATH Keywords: correlation
zbMATH Keywords: multivariate asset pricing
zbMATH Keywords: variance gamma
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697688.2010.505199
OpenAlex ID: W2165092670
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description: scientific article; zbMATH DE number 6049738