PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION

DOI10.7468/jksmeb.2014.21.1.77zbMath1290.91185OpenAlexW2111629511MaRDI QIDQ4981414

Seki Kim, Yuqi Pu

Publication date: 24 June 2014

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2014.21.1.77

zbMATH Keywords

copulasstochastic simulationtime series modelforward-futures spread

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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