Measure-invariance of copula functions as tool for testing no-arbitrage assumption (Q1743947)
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scientific article; zbMATH DE number 6860303
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| English | Measure-invariance of copula functions as tool for testing no-arbitrage assumption |
scientific article; zbMATH DE number 6860303 |
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Measure-invariance of copula functions as tool for testing no-arbitrage assumption (English)
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16 April 2018
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change of measure
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copula functions
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invariance property
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transform of margins
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absence of arbitrages
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0.7380928993225098
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0.7340440154075623
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0.7156246900558472
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0.7150306701660156
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