THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS
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Publication:5190050
DOI10.1111/j.1467-9965.2009.00388.xzbMath1182.91168MaRDI QIDQ5190050
Umberto Cherubini, Silvia Romagnoli
Publication date: 12 March 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00388.x
91G20: Derivative securities (option pricing, hedging, etc.)
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