The multivariate Variance Gamma model: basket option pricing and calibration
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2015.1043934
Reference37 articles.
1. Smile Pricing Explained
2. Multivariate asset models using Lévy processes and applications
3. Arbitrage Theory in Continuous Time
4. The Pricing of Options and Corporate Liabilities
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