Multivariate factor-based processes with Sato margins


We introduce a class of multivariate factor-based processes with the dependence structure of Lévy rhoalpha-models and Sato marginal distributions. We focus on variance gamma and normal inverse Gaussian marginal specifications... [ view full abstract ]


  1. Andrea Romeo (Universita di Torino)
  2. Patrizia Semeraro (Politecnico di Torino)
  3. Marina Marena (Universita di Torino)

Topic Areas

Calibration , Options


TH-P-B2 » New Models for Option Pricing (14:30 - Thursday, 19th July, Beckett 2)

Presentation Files

The presenter has not uploaded any presentation files.