Jul
28

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

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

wiki(Variance-gamma distribution)

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