Multivariate option price models and extremes (Q4337161): Difference between revisions
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: A note on the independence and total dependence of max i.d. distributions / rank | |||
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| Property / cites work: A note on exceedances and rare events of non-stationary sequences / rank | |||
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| Property / cites work: Stable distributions for asset returns / rank | |||
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Latest revision as of 11:37, 27 May 2024
scientific article; zbMATH DE number 1010773
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate option price models and extremes |
scientific article; zbMATH DE number 1010773 |
Statements
Multivariate option price models and extremes (English)
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11 November 1997
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multivariate extremes
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option price model
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Cox-Ross-Rubinstein model
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limiting distribution
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dependence of the components
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triangular arrays
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