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1
A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
Saved in:
2
Multivariate marked poisson processes and market related multidimensional information flows
Jevtić, Petar
;
Marena, Marina
;
Semeraro, Patrizia
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012013851
Saved in:
3
Multivariate option pricing models with Lévy and Sato VG marginal processes
Guillaume, Florence
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011854500
Saved in:
4
Multivariate tempered stable additive subordination for financial models
Semeraro, Patrizia
- In:
Mathematics and financial economics
16
(
2022
)
4
,
pp. 685-712
Persistent link: https://www.econbiz.de/10013438877
Saved in:
5
Analytical valuation of autocallable notes
Guillaume, Tristan
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
Saved in:
6
Lévy processes induced by dirichlet (b-)splines : modeling multivariate asset price dynamics
Kaishev, Vladimir K.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
2
,
pp. 217-247
Persistent link: https://www.econbiz.de/10009721751
Saved in:
7
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
8
The multivariate variance gamma model : basket option pricing and calibration
Linders, Daniël
;
Stassen, Ben
-
2014
Persistent link: https://www.econbiz.de/10010422200
Saved in:
9
Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
Wu, Yang-che
;
Liao, Szu-Lang
;
Shyu, So-de
- In:
Insurance / Mathematics & economics
44
(
2009
)
1
,
pp. 95-102
Persistent link: https://www.econbiz.de/10009517655
Saved in:
10
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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