Approximation of bivariate copulas by patched bivariate Fréchet copulas

DOI10.1016/j.insmatheco.2010.11.002zbMath1232.62081OpenAlexW2170446030MaRDI QIDQ2276226

Jianhua Z. Huang, YanTing Zheng, Jing-Ping Yang

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.11.002

zbMATH Keywords

rainbow optionspatched bivariate Fréchet copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Convergence results for patchwork copulas ⋮ New copulas based on general partitions-of-unity and their applications to risk management ⋮ Non-atomic bivariate copulas and implicitly dependent random variables ⋮ Dependence measuring from conditional variances ⋮ Extremality and factorizability of Markov operators ⋮ Factorizable non-atomic copulas ⋮ Shuffle of min’s random variable approximations of bivariate copulas’ realization ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ Patched approximations and their convergence ⋮ A Compendium of Copulas ⋮ A typical copula is singular ⋮ A copula-based approximation to Markov chains

Cites Work

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• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
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• Understanding Relationships Using Copulas

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