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Pricing multivariate currency options with copulas
16 references·4 citing·46 second hop
Pricing multivariate currency options with copulas (2006)Pricing multivariate currency options wit…The Markov-Switching Multifractal Model of Asset Returns (2008)The Markov-Switching Multifra…Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach (2007)Time variation of higher mome…Incentive Contracts and Hedge Fund Management (2007)Incentive Contracts and Hedge…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…A Multivariate Jump-Driven Financial Asset Model (2006)A Multivariate Jump-Driven Fi…THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS (2004)THE BERNSTEIN COPULA AND ITS …How do UK‐based foreign exchange dealers think their market operates? (2004)How do UK‐based foreign excha…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…Testing the stability of implied probability density functions (2002)Testing the stability of impl…Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds (2002)Noise Trading, Costly Arbitra…Modelling emerging market risk premia using higher moments (1999)Modelling emerging market ris…Estimating the Probability Distribution of the Future Exchange Rate from Option Prices (1997)Estimating the Probability Di…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)An Affine Multicurrency Model…Dependence modeling in non-life insurance using the Bernstein copula (2012)Dependence modeling in non-li…How do exchange rates co-move? A study on the currencies of five inflation-targeting countries (2010)How do exchange rates co-move…Estimation of a microfounded herding model on German survey expectations (2007)Estimation of a microfounded …Implied Binomial Trees (1994)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns (1999)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Estimating the Implied Risk‐Neutral Density for the US Market Portfolio* (2010)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Fourier space time-stepping for option pricing with Lévy models (2008)A Fourier Transform Method for Spread Option Pricing (2010)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)CHAPMAN AND HALL (1985)Extreme Correlation of International Equity Markets (2001)Copulas: A Review and Recent Developments (2006)COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES (2009)Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas (2016)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Time‐Varying World Market Integration (1995)Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Market skewness risk and the cross section of stock returns (2012)Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries (2013)Macroeconomics and Reality (1980)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Predictive regressions (1999)Empirical exchange rate models of the nineties: Are any fit to survive? (2005)How do business and financial cycles interact? (2012)The valuation of options for alternative stochastic processes (1976)Arbitrage-free smoothing of the implied volatility surface (2009)Using Markets to Inform Policy: The Case of the Iraq War (2009)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2003Pricing and Hedging Spread Options338 cited
  • 2004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS273 cited
  • 2002Testing the stability of implied probability density functions269 cited
  • 1997Estimating the Probability Distribution of the Future Exchange Rate from Option Prices239 cited
  • 1999Modelling emerging market risk premia using higher moments239 cited
  • 2002Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds236 cited
  • 2007Incentive Contracts and Hedge Fund Management211 cited
  • 2006A Multivariate Jump-Driven Financial Asset Model204 cited
  • 2007Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach181 cited
  • 2008The Markov-Switching Multifractal Model of Asset Returns176 cited

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  • 2004How do UK‐based foreign exchange dealers think their market operates?174 cited
  • Cited by

    • 2012Dependence modeling in non-life insurance using the Bernstein copula54 cited
    • 2010How do exchange rates co-move? A study on the currencies of five inflation-targeting countries33 cited
    • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited
    • 2007Estimation of a microfounded herding model on German survey expectations20 cited