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- W3122254906 abstract "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 [8] 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 Levy price model based on our process." @default.
- W3122254906 created "2021-02-01" @default.
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- W3122254906 date "2006-07-01" @default.
- W3122254906 modified "2023-09-27" @default.
- W3122254906 title "A Multivariate Time-Changed Lévy Model for Financial Applications" @default.
- W3122254906 hasPublicationYear "2006" @default.
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