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The αVG model for multivariate asset pricing: calibration and extension · Study

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ArticleThe αVG model for multivariate asset pricing: calibration and extension

Florence Guillaume2012

Article2012

The αVG model for multivariate asset pricing: calibration and extension

Florence Guillaume

36 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1999Option valuation using the fast Fourier transform 1990The Variance Gamma (V.G.) Model for Share Market Returns 1975Fact and Fantasy in the Use of Options 2003Stochastic Volatility for Lévy Processes 2003Lévy processes in finance pricing financial derivatives 2003Lévy Processes in Finance 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

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2019Modelling tail risk with tempered stable distributions: an overview

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Year2012

Typearticle

Published2012-07-08

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11147-012-9080-2

openalex_workW2153999818

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