Multivariate option price models and extremes

DOI10.1080/03610929608831736MaRDI QIDQ4337161zbMATH OpenOpenAlexFDO

Authors J. Hüsler

Publication date 11 November 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929608831736

zbMATH Keywords

Cox-Ross-Rubinstein modeldependence of the componentslimiting distributionmultivariate extremesoption price modeltriangular arrays

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A note on exceedances and rare events of non-stationary sequences
• A note on the independence and total dependence of max i.d. distributions
• scientific article; zbMATH DE number 796442 (Why is no real title available?)
• Option pricing: A simplified approach
• Stable distributions for asset returns

Cited in

(6)

• On the multiplicity of option prices under CEV with positive elasticity of variance
• A model-free approach to multivariate option pricing
• scientific article; zbMATH DE number 5713946 (Why is no real title available?)
• scientific article; zbMATH DE number 1222791 (Why is no real title available?)
• On option pricing in the multidimensional Cox-Ross-Rubinstein model
• On option pricing models in the presence of heavy tails

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