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"CBI-time-changed Lévy processes for multi-currency modeling."

Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda (2024)

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DOI: 10.1007/S10479-022-04982-Z

access: open

type: Journal Article

metadata version: 2024-06-08

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  dblp key:
  - journals/anor/FontanaGS24
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  - https://dblp.org/rec/journals/anor/FontanaGS24
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda:
CBI-time-changed Lévy processes for multi-currency modeling. Ann. Oper. Res. 336(1-2): 127-152 (2024)

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