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Jul 28

simulating a two-dimensional variance gamma process with Clayton dependence structure

Posted by abiao at 08:14 | Code » Matlab | Comments(0) | Reads(10923)
Simulates two dependent variance gamma processes without drift, dependence is given by Clayton Levy copula with parameters theta and rho.

http://people.math.jussieu.fr/~tankov/florence/


wiki(Variance-gamma distribution)


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