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On the minimal number of driving Lévy motions in a multivariate price model
Published online by Cambridge University Press: 16 November 2018
Abstract
In this paper we consider the factor analysis for Lévy-driven multivariate price models with stochastic volatility. Our main aim is to provide conditions on the volatility process under which we can possibly reduce the dimension of the driving Lévy motion. We find that these conditions depend on a particular form of the multivariate Lévy process. In some settings we concentrate on nondegenerate symmetric α-stable Lévy motions.
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- Copyright © Applied Probability Trust 2018
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