| Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process (JNCA) |
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Volume 18
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Number 6
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pp. 1153-1169
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| Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process |
| Jia Yue, Ming-hui Wang and Nan-jing Huang |
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| Key words |
Mathematices Subject Classification |
| Multivariate norm tempered stable process, multi-asset option, stochastic volatility, Lévy process, risk-neutral pricing |
91B25, 91B70, 60G51
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| Copyright© 2015 Yokohama Publishers |
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