Jul
28
simulating a two-dimensional variance gamma process with Clayton dependence structure
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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)
Unclear about this post? Asking questions and receiving answers.
http://people.math.jussieu.fr/~tankov/florence/
wiki(Variance-gamma distribution)
Unclear about this post? Asking questions and receiving answers.
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