Pricing multivariate European equity option using Gaussians mixture distributions and EVT-based copulas
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Publication:2068279
DOI10.1155/2021/7648093zbMath1490.91213arXiv2105.10599OpenAlexW3196927963MaRDI QIDQ2068279
Yaméogo WendKouni, Saley Bisso, Abba Mallam Hassane, Barro Diakarya
Publication date: 19 January 2022
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.10599
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- An introduction to copulas.
- A model-free approach to multivariate option pricing
- Pricing multivariate European equity option using Gaussians mixture distributions and EVT-based copulas
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data