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Multivariate Option Pricing with Copulas
16 references·1 citing·45 second hop
Multivariate Option Pricing with Copulas (2001)Multivariate Option Pricing with CopulasYaari's dual theory without the completeness axiom (2003)Yaari's dual theory without t…Nonparametric Pricing of Multivariate Contingent Claims (2003)Nonparametric Pricing of Mult…Expected utility theory without the completeness axiom (2003)Expected utility theory witho…A Subjective Spin on Roulette Wheels (2003)A Subjective Spin on Roulette…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type (2001)On Fragility of Bubbles in Eq…Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes (2001)Change of numéraire for affin…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Pricing Black-Scholes options with correlated credit risk (1996)Pricing Black-Scholes options…Naval Law Review. Volume 43. (1996)Naval Law Review. Volume 43.Implied Binomial Trees (1994)Implied Binomial TreesThe Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Multivariate Option Pricing Using Dynamic Copula Models (2004)Multivariate Option Pricing U…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determinants of corporate borrowing (1977)A Lattice Framework for Option Pricing with Two State Variables (1988)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)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)Additive Representations of Preferences (1989)Maxmin expected utility with non-unique prior (1989)Rational choice with status quo bias (2004)Objective and Subjective Rationality in a Multiple Prior Model (2010)Decision-making with belief functions: A review (2019)Theory of games and economic behavior (2019)The valuation of options for alternative stochastic processes (1976)Pricing vulnerable European options when the option’s payoff can increase the risk of financial distress (2001)Bivariate option pricing with copulas (2002)Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk? (2003)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)An Intertemporal Capital Asset Pricing Model (1973)Theory of Rational Option Pricing (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Enjoy the Joy of Copulas: With a Packagecopula (2007)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 2003Expected utility theory without the completeness axiom355 cited
  • 1996Pricing Black-Scholes options with correlated credit risk270 cited
  • 2003A Subjective Spin on Roulette Wheels179 cited
  • 2001On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type101 cited
  • 2003Nonparametric Pricing of Multivariate Contingent Claims39 cited
  • 2003Yaari's dual theory without the completeness axiom35 cited
  • 1996Naval Law Review. Volume 43.22 cited
  • 2001Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes

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  • 2004Multivariate Option Pricing Using Dynamic Copula Models19 cited