TASSINARI, GIAN LUCA; BIANCHI, MICHELE LEONARDO - In: International Journal of Theoretical and Applied … 17 (2014) 04, pp. 1450023-1
In this study, we investigate two multivariate time-changed Brownian motion option pricing models in which the connection between the historical measure P and the risk-neutral measure Q is given by the Esscher transform. The models incorporate skewness, kurtosis and more complex dependence...