Bivariate option pricing using dynamic copula models

DOI10.1016/J.INSMATHECO.2005.01.008MaRDI QIDQ2567092zbMATH OpenOpenAlexFDO

Authors Rob W. J. Van den Goorbergh, Christian Genest, Bas J. M. Werker

Publication date 29 September 2005

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.01.008

zbMATH Keywords

Archimedean copulaARMA modelbest-of-two-markets optionsKendall's taunon-normalitytime-varying dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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Cited in

(34)

• Copula-based dynamic models for multivariate time series
• Jackknife empirical likelihood method for copulas
• A nested copula duration model for competing risks with multiple spells
• Dual volatility and dependence parameters and the copula
• Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
• Measuring the coupled risks: A copula-based CVaR model
• Estimating dynamic copula dependence using intraday data
• Digital option pricing based on copulas with stochastic simulation
• Measuring large comovements in financial markets
• Multi-name assets exchange option pricing simulation based on pair-copulas
• Dynamic bivariate normal copula
• Dependence structure of market states
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Copulas: A Review and Recent Developments
• Dynamic Copula-Based Markov Time Series
• Gaussian copula under multiscale volatility
• Local estimation of dynamic copula models
• scientific article; zbMATH DE number 5631233 (Why is no real title available?)
• Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
• A review of copula models for economic time series
• Time-dependent copulas
• Copula-based semiparametric models for multivariate time series
• A note on adjusting correlation matrices
• GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation
• Estimating the probability of a rare event via elliptical copulas
• Pricing participating inflation retirement funds through option modeling and copulas
• A survey on time-varying copulas: specification, simulations, and application
• The dependence structure of running maxima and minima: results and option pricing applications
• Copula modeling from Abe Sklar to the present day
• Multivariate option pricing using copulae
• Basket options with volatility skew: calibrating a local volatility model by sample rearrangement
• Portfolio optimisation with European options
• Pricing bivariate option under GARCH processes with time-varying copula
• Empirical likelihood based confidence intervals for copulas

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