Pricing multivariate barrier reverse convertibles with factor-based subordinators
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References listed on IDEAS
- Patrizia Semeraro, 2006. "A Multivariate Time-Changed Lévy Model for Financial Applications," ICER Working Papers - Applied Mathematics Series 10-2006, ICER - International Centre for Economic Research.
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More about this item
KeywordsLévy processes; multivariate subordinators; multivariate asset modelling; multivariate variance gamma process; multivariate normal inverse Gaussian process; multi barrier reverse convertibles.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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