Multidimensional Lévy Models - Computational Methods for Quantitative Finance - page 226

Additionally, we also show the corresponding error for the non-barrier basket
option. As expected, the relative error is significantly higher for a barrier option
close to the barrier.

14.8 Further Reading

Lévy copulas are introduced by Kallsen and Tankov [100]. These are used in Farkas
et al. [66] to study pure jump processes built from 1-homogeneous Lévy copulas
and univariate marginal Lévy processes with symmetric tempered stable margins.
The domain of the infinitesimal generator is characterized and it is shown that the

corresponding variational problem is well-posed. The multivariate, nonsymmetric
case was studied in Reich et al. [134], i.e. when the univariate marginal Lévy pro-
cesses are tempered stable, but with possibly nonsymmetric margins. In this chapter,
we closely followed Winter [163]. For a more detailed description of the numer-
ical scheme, in particular the numerical integration of the matrix coefficients, see
[163, 164].

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