Multivariate option price models and extremes

DOI10.1080/03610929608831736zbMATH Open0875.62617OpenAlexW1983769271MaRDI QIDQ4337161FDOQ4337161

Authors: J. Hüsler 

Publication date: 11 November 1997

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831736

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zbMATH Keywords

multivariate extremestriangular arrayslimiting distributionCox-Ross-Rubinstein modeldependence of the componentsoption price model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Option pricing: A simplified approach
• Stable distributions for asset returns
• Title not available (Why is that?)
• A note on the independence and total dependence of max i.d. distributions
• A note on exceedances and rare events of non-stationary sequences

Cited In (4)

• On the multiplicity of option prices under CEV with positive elasticity of variance
• On option pricing models in the presence of heavy tails
• Title not available (Why is that?)
• Title not available (Why is that?)

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