Bivariate option pricing using dynamic copula models

DOI10.1016/j.insmatheco.2005.01.008zbMath1102.91059OpenAlexW3121781918MaRDI QIDQ2567092

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

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

Kendall's tauArchimedean copulanon-normalityARMA modeltime-varying dependencebest-of-two-markets options

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)

Related Items (23)

Dynamic bivariate normal copula ⋮ Measuring the coupled risks: A copula-based CVaR model ⋮ A Survey on Time-Varying Copulas: Specification, Simulations, and Application ⋮ Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique ⋮ A nested copula duration model for competing risks with multiple spells ⋮ Estimating dynamic copula dependence using intraday data ⋮ Jackknife empirical likelihood method for copulas ⋮ Copula modeling from Abe Sklar to the present day ⋮ A review of copula models for economic time series ⋮ Time-dependent copulas ⋮ Copula-based semiparametric models for multivariate time series ⋮ Dynamic Copula-Based Markov Time Series ⋮ Pricing bivariate option under GARCH processes with time-varying copula ⋮ Dependence structure of market states ⋮ LOCAL ESTIMATION OF DYNAMIC COPULA MODELS ⋮ Empirical likelihood based confidence intervals for copulas ⋮ THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS ⋮ Copula-based dynamic models for multivariate time series ⋮ Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation ⋮ Copulas: A Review and Recent Developments ⋮ Estimating the Probability of a Rare Event via Elliptical Copulas ⋮ Measuring large comovements in financial markets ⋮ Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• Weak convergence and empirical processes. With applications to statistics
• THE GARCH OPTION PRICING MODEL
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Frank's family of bivariate distributions
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• A note on adjusting correlation matrices
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Option pricing: A simplified approach

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