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Multi-Factor Levy Models
Anatoliy V. Swishchuk
其他書名
Change of Time and Pricing of Financial and Energy Derivatives
出版
SSRN
, 2014
URL
http://books.google.com.hk/books?id=abvEzgEACAAJ&hl=&source=gbs_api
註釋
We consider multi-factor Levy models based on SDEs driven by alpha-stable Levy processes.Using change of time method for Levy-based stochastic integrals we show how to pricing many of financial and energy derivatives.
