Bivariate option pricing using dynamic copula models (Q2567092): Difference between revisions
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Revision as of 07:37, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bivariate option pricing using dynamic copula models |
scientific article |
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Bivariate option pricing using dynamic copula models (English)
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29 September 2005
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Archimedean copula
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ARMA model
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best-of-two-markets options
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Kendall's tau
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non-normality
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time-varying dependence
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