THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS (Q5190050)
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scientific article; zbMATH DE number 5681063
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS |
scientific article; zbMATH DE number 5681063 |
Statements
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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