Open AccessThe Multivariate Variance Gamma Model: Basket Option Pricing and Calibration
Author(s) -
Daniël Linders,
Ben Stassen
Publication year - 2014
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2488973
Subject(s) - multivariate statistics , calibration , econometrics , multivariate analysis of variance , variance (accounting) , variance components , statistics , mathematics , economics , accounting
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