Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing

Citation

Buchmann, B, Kaehler, B, Maller, R, Szimayer, A. 2017, 'Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing', Stochastic Processes and their Applications 127, 2208--2242.

Year

2017

ANU Authors

Field of Research

  • Stochastic Analysis And Modelling

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