Multidimensional Lévy Models
In this chapter, we extend the one-dimensional Lévy models described in Chap. 10 to multidimensional Lévy models. Since the law of a Lévy process is time-homogeneous, it is completely characterized by its characteristic triplet. The drift has no effect on the dependence structure between the components. The dependence structure of the Brownian motion part of the Lévy process is given by its covariance matrix. For purposes of financial modeling, it remains to specify a parametric dependence structure of the purely discontinuous part which can be done by using Lévy copulas.
KeywordsBrownian Motion Option Price Compound Poisson Process Barrier Option Gamma Process
- 163.Ch. Winter. Wavelet Galerkin schemes for option pricing in multidimensional Lévy models. PhD thesis, ETH Zürich, Dissertation No. 18221, 2009. http://e-collection.ethbib.ethz.ch/view/eth:41555.