A Multivariate Time-Changed Lévy Model for Financial Applications
The purpose of this paper is to define a bivariate L´evy process by subordination of a Brownian motion. In particular we investigate a generalization of the bivariate Variance Gamma process proposed in Luciano and Schoutens  as a price process. Our main contribution here is to introduce a bivariate subordinator with correlated Gamma margins. We characterize the process and study its dependence structure. At the end wealso propose an exponential Lévy price model based on our process.
|Date of creation:||Jul 2006|
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- Elisa Luciano & Wim Schoutens, 2006.
"A Multivariate Jump-Driven Financial Asset Model,"
Carlo Alberto Notebooks
29, Collegio Carlo Alberto.
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