A Multivariate Time-Changed Lévy Model for Financial Applications
ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research
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  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 Lévy price model based on our process.
Keywords: Levy processes; multivariate subordinators; dependence; multivariate asset modelling. (search for similar items in EconPapers)
Pages: 27 pages
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:10-2006
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