THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS (Q5190050): Difference between revisions

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Latest revision as of 12:49, 2 July 2024

scientific article; zbMATH DE number 5681063
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English
THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS
scientific article; zbMATH DE number 5681063

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    THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS (English)
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    12 March 2010
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    copula functions
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    Markov processes
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    barrier options
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    multivariate options
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