A multivariate pure-jump model with multi-factorial dependence structure
Year of publication: |
2012
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Authors: | Marfè, Roberto |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 4, p. 1-30
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Subject: | Lévy processes | multivariate subordinators | dependence | correlation | multivariate asset pricing | multi-factorial modeling | variance gamma | Multivariate Analyse | Multivariate analysis | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Multivariate Verteilung | Multivariate distribution | CAPM |
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