Bivariate option pricing using dynamic copula models (Q2567092)
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scientific article; zbMATH DE number 2211190
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| English | Bivariate option pricing using dynamic copula models |
scientific article; zbMATH DE number 2211190 |
Statements
Bivariate option pricing using dynamic copula models (English)
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29 September 2005
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Archimedean copula
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ARMA model
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best-of-two-markets options
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Kendall's tau
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non-normality
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time-varying dependence
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0.8768100738525391
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0.8280054926872253
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0.7885012030601501
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