Multivariate option pricing using copulae

DOI10.1002/ASMB.1934MaRDI QIDQ6570854zbMATH OpenFDO

Authors Carole Bernard, Claudia Czado

Publication date 10 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.1934

zbMATH Keywords

basket optionsmultivariate derivativespair-copula constructionpricing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A note on adjusting correlation matrices
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Bivariate option pricing using dynamic copula models
• Comparison of semiparametric and parametric methods for estimating copulas
• Efficient Bayesian inference for stochastic time-varying copula models
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Pair-copula constructions of multiple dependence
• Probability density decomposition for conditionally dependent random variables modeled by vines
• THE GARCH OPTION PRICING MODEL
• Time-varying joint distribution through copulas
• Truncated regular vines in high dimensions with application to financial data
• Vines -- a new graphical model for dependent random variables.

Cited in

(1)

• European option pricing formula in risk-averse markets based on the risk measure of VaR

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