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Granger Independent Martingale Processes
[article]
2016
arXiv
pre-print
We introduce a new class of processes for the evaluation of multivariate equity derivatives. The proposed setting is well suited for the application of the standard copula function theory to processes, rather than variables, and easily enables to enforce the martingale pricing requirement. The martingale condition is imposed in a general multidimensional Markov setting to which we only add the restriction of no-Granger-causality of the increments (Granger-independent increments). We call this
arXiv:1607.01519v1
fatcat:fb6mgytldzbevgmozddwtlcueu