A copula-based approach for generating lattices (Q315036): Difference between revisions

@@ Property / DOI @@
-.1007/s11147-015-9111-x
@@ Property / DOI: 10.1007/s11147-015-9111-x / rank @@
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+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / zbMATH DE Number @@
+6628435
@@ Property / zbMATH DE Number: 6628435 / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic processes
@@ Property / zbMATH Keywords: stochastic processes / rank @@
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@@ Property / zbMATH Keywords @@
+discrete models
@@ Property / zbMATH Keywords: discrete models / rank @@
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@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
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@@ Property / zbMATH Keywords @@
+copulas
@@ Property / zbMATH Keywords: copulas / rank @@
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+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / OpenAlex ID @@
+W858042963
@@ Property / OpenAlex ID: W858042963 / rank @@
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@@ Property / cites work @@
+Lean trees -- a general approach for improving performance of lattice models for option pricing
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+On a semi-linear Schrödinger equation in \(\mathbb R^{N}\)
+Normal rank
@@ Property / cites work @@
+A universal lattice
@@ Property / cites work: A universal lattice / rank @@
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@@ Property / cites work @@
+Generalized Cox-Ross-Rubinstein Binomial Models
@@ Property / cites work: Generalized Cox-Ross-Rubinstein Binomial Models / rank @@
+Normal rank
@@ Property / cites work @@
+A binomial approximation for two-state Markovian HJM models
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
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@@ Property / cites work @@
+Student's \(t\)-distribution and related stochastic processes
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@@ Property / cites work @@
+Consistent ranking of volatility models
@@ Property / cites work: Consistent ranking of volatility models / rank @@
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@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+A recombining lattice option pricing model that relaxes the assumption of lognormality
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@@ Property / cites work @@
+Three-Point Approximations for Continuous Random Variables
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+Approximate means and standard deviations based on distances between percentage points of frequency curves
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@@ Property / cites work @@
+Q4521614
@@ Property / cites work: Q4521614 / rank @@
+Normal rank
@@ Property / cites work @@
+A Copulas-Based Approach to Modeling Dependence in Decision Trees
+Normal rank
@@ Property / cites work @@
+A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
+Normal rank
@@ Property / DOI @@
+.1007/S11147-015-9111-X
@@ Property / DOI: 10.1007/S11147-015-9111-X / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:315036