Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
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Publication:2330490
DOI10.1214/19-BJPS445zbMath1426.91272OpenAlexW2970949531MaRDI QIDQ2330490
Lucas Pereira Lopes, Francisco Louzada, Vicente G. Cancho
Publication date: 22 October 2019
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1566806434
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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