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- W2786310344 abstract "Pricing and hedging of financial instruments whose payoff depends on the joint realization of several underlyings (basket options, spread options, etc.) require multivariate models that are, at the same time, computationally tractable and flexible enough to accommodate the stylized facts of asset returns and of their dependence structure. Among the most popular models one finds models with VG marginals. The aim of this paper is to compare four multivariate models that are characterized by VG laws at unit time and to assess their performance by considering the flexibility they offer to calibrate the dependence structure for fixed marginals." @default.
- W2786310344 created "2018-02-23" @default.
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- W2786310344 date "2018-03-01" @default.
- W2786310344 modified "2023-09-27" @default.
- W2786310344 title "MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES" @default.
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- W2786310344 doi "https://doi.org/10.1142/s0219024918500073" @default.
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