Serving the Quantitative Finance Community
correlated variance gamma
I would like to make a 2-factor model with 2 variance gamma processes driving uncertainty in 2 economies. I would like them to be correlated. Does anyone have a reference algorithm that simulates variance gamma in this way?If not I was thinking to have the same gamma process subordinating two independent Brownian motions. If anyone has any thoughts on if this is sensible or not please let me know.Merry Christmas and Happy New Year.
correlated variance gamma
There is discussion in Cont/Tankov (both multivariate VG & Levy process simulation)
Last edited by Alan on December 27th, 2009, 11:00 pm, edited 1 time in total.