Multivariate option pricing using copulae
- 12 July 2012
- journal article
- Published by Wiley in Applied Stochastic Models in Business and Industry
- Vol. 29 (5), 509-526
- https://doi.org/10.1002/asmb.1934
Abstract
No abstract availableThis publication has 19 references indexed in Scilit:
- Vine copulas with asymmetric tail dependence and applications to financial return dataComputational Statistics & Data Analysis, 2012
- Efficient Bayesian inference for stochastic time-varying copula modelsComputational Statistics & Data Analysis, 2012
- Maximum likelihood estimation of mixed C-vines with application to exchange ratesStatistical Modelling, 2012
- Locally Capped Investment Products and the RetailInvestorThe Journal of Derivatives, 2011
- Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula ModelSSRN Electronic Journal, 2008
- Non-Parametric Pricing of Multivariate Contingent ClaimsThe Journal of Derivatives, 2003
- Vines--a new graphical model for dependent random variablesThe Annals of Statistics, 2002
- Bivariate option pricing with copulasApplied Mathematical Finance, 2002
- Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parametersPublished by Institute of Mathematical Statistics ,1996
- THE GARCH OPTION PRICING MODELMathematical Finance, 1995