Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
Copyright policy )Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
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- Australian National University Australia
- Universität Hamburg Germany
Strong limit theorems, Functional limit theorems; invariance principles, 330, Lévy process, Option pricing, Superposition, Esscher transformation, superposition, Multivariate subordination, Thorin measure, Central limit and other weak theorems, generalised gamma convolutions, Processes with independent increments; Lévy processes, Esscher invariance, Variance-Gamma, Generalised Gamma convolutions, Levy process, Brownian motion, Jump processes, multivariate subordination, option pricing, Financial applications of other theories
Strong limit theorems, Functional limit theorems; invariance principles, 330, Lévy process, Option pricing, Superposition, Esscher transformation, superposition, Multivariate subordination, Thorin measure, Central limit and other weak theorems, generalised gamma convolutions, Processes with independent increments; Lévy processes, Esscher invariance, Variance-Gamma, Generalised Gamma convolutions, Levy process, Brownian motion, Jump processes, multivariate subordination, option pricing, Financial applications of other theories
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