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Lévy base correlation

Published:2009-04 Issue:2 Volume:1 Page:95-100
ISSN:1759-6351
Container-title:Wilmott Journal
language:en
Short-container-title:Wilmott J.

Author:

Garcia João,Goossens Serge,Masol Viktoriya,Schoutens Wim

Publisher

Wiley

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/wilj.6/fullpdf

Reference15 articles.

1. All your hedges in one basket;Andersen;Risk,2003

2. Gamma process dynamic modelling of credit;Baxter;Risk Magazine,2007

3. Dobránszky, P. Numerical Quadrature to calculate Lévy Base Correlation. Technical Report 2008-2, K.U. Leuven, Section of Statistics, 2008.

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3. Multidimensional Structural Default Models and Correlated Jumps;Pseudo-Differential Operators;2017

4. GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING;International Journal of Theoretical and Applied Finance;2016-03

5. Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model;Innovations in Derivatives Markets;2016

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