A copula-based approach for generating lattices
From MaRDI portal
Publication:315036
DOI10.1007/s11147-015-9111-xzbMath1345.91077OpenAlexW858042963MaRDI QIDQ315036
James S. Dyer, Warren J. Hahn, Tianyang Wang
Publication date: 19 September 2016
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/10217/206709
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Consistent ranking of volatility models
- A universal lattice
- Student's \(t\)-distribution and related stochastic processes
- A binomial approximation for two-state Markovian HJM models
- A recombining lattice option pricing model that relaxes the assumption of lognormality
- Lean trees -- a general approach for improving performance of lattice models for option pricing
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- On a semi-linear Schrödinger equation in \(\mathbb R^{N}\)
- A Copulas-Based Approach to Modeling Dependence in Decision Trees
- Generalized Cox-Ross-Rubinstein Binomial Models
- Three-Point Approximations for Continuous Random Variables
- Option pricing: A simplified approach
- Approximate means and standard deviations based on distances between percentage points of frequency curves
