Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
From MaRDI portal
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
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the copula for multivariate extreme value distributions
- Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
- An introduction to copulas.
- Pricing bivariate option under GARCH processes with time-varying copula
- Fitting bivariate cumulative returns with copulas
- Fitting bivariate loss distributions with copulas
- A general version of the fundamental theorem of asset pricing
- A large class of new bivariate copulas and their properties
- Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution
- Time-varying joint distribution through copulas
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- THE GARCH OPTION PRICING MODEL
- Option Pricing With V. G. Martingale Components1
- A note on adjusting correlation matrices
- Bayesian Measures of Model Complexity and Fit
This page was built for publication: Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach