Cost-efficiency in multivariate Lévy models
نویسندگان
چکیده
منابع مشابه
Cost-efficiency in multivariate Lévy models
In this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This extended framework allows to deal with dependent price processes as arising in typical applications. Dependence of the components of the Lévy Process implies an in...
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ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2015
ISSN: 2300-2298
DOI: 10.1515/demo-2015-0001