{"title":"PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC","authors":"F. Mehrdoust, O. Samimi","doi":"10.1142/S2010495220500153","DOIUrl":null,"url":null,"abstract":"This paper considers a class of Levy process namely the variance gamma (VG) process to offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we verify the uniquen...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050015"},"PeriodicalIF":2.0000,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/S2010495220500153","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1
Abstract
This paper considers a class of Levy process namely the variance gamma (VG) process to offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we verify the uniquen...
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