Pricing multivariate barrier reverse convertibles with factor-based subordinators
Year of publication: |
April 2018
|
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Authors: | Marena, Marina ; Romeo, Andrea ; Semeraro, Patrizia |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 5, p. 97-129
|
Subject: | Lévy processes | multivariate subordinators | multivariate asset modeling | multivariate variance gamma (VG) process | multivariate normal inverse Gaussian (NIG) process | multibarrier reverse convertibles (MBRCs) | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | Optionspreistheorie | Option pricing theory |
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