Copula-GARCH-MMBP based Monte Carlo option pricing method

MaRDI QIDQ2993184zbMATH OpenFDO

Authors Dongjiao Ge, Dandan Wen, Chaojuan Dai, Yayong Tang

Publication date 10 August 2016

zbMATH Keywords

copula-GARCH-MMBPequity linked noteMonte Carlo method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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