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
2017Field of Research
- Stochastic Analysis And Modelling