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Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing

Buchmann, Boris; Kaehler, Benjamin; Maller, Ross; Szimayer, Alexander

Description

We unify and extend a number of approaches related to constructing multivariate Madan–Seneta Variance-Gamma models for option pricing. Complementing Grigelionis’ (2007) class, an overarching model is derived by subordinating multivariate Brownian motion to a subordinator from Thorin’s (1977) [58, 59] class of generalised Gamma convolutions. Multivariate classes developed by Pérez-Abreu and Stelzer (2014), Semeraro (2008) and Guillaume (2013) are submodels. The classes are shown to be invariant...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
URI: http://hdl.handle.net/1885/243974
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2016.10.008
Access Rights: Open Access

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