Pricing bivariate option under GARCH processes with time-varying copula (Q931205)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing bivariate option under GARCH processes with time-varying copula |
scientific article |
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Pricing bivariate option under GARCH processes with time-varying copula (English)
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25 June 2008
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call-on-max option
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GARCH process
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Kendall's tau
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copula
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dynamic copula
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time-varying parameter
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