Multi-name assets exchange option pricing simulation based on pair-copulas

MaRDI QIDQ2916844zbMATH OpenFDO

Authors Hengyu Wu, Wu Yan, Jianglin Lü, Peng Chen

Publication date 5 October 2012

Published in Mathematics in Practice and Theory (Search for Journal in Brave)

zbMATH Keywords

exchange optionMonte Carlo simulationpair-copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bivariate option pricing using dynamic copula models
• A note on adjusting correlation matrices
• Digital option pricing based on copulas with stochastic simulation
• The decoupling approach to binomial pricing of multi-asset options
• Copula-GARCH-MMBP based Monte Carlo option pricing method
• SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
• A stochastic correlation model with mean reversion for pricing multi-asset options
• A computationally efficient numerical approach for multi-asset option pricing
• A Monte Carlo multi-asset option pricing approximation for general stochastic processes
• scientific article; zbMATH DE number 5631233

This page was built for publication: Multi-name assets exchange option pricing simulation based on pair-copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2916844)