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ArticlePricing bivariate option under GARCH processes with time-varying copula

Jinlong Zhang2008

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Articlegreen2008

Pricing bivariate option under GARCH processes with time-varying copula

Jinlong Zhang · Dominique Guégan

29 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1973Theory of Rational Option Pricing 1999An Introduction to Copulas 2005Theory of rational option pricing 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2002Correlation and Dependence in Risk Management: Properties and Pitfalls

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Year2008

Typearticle

Published2008-03-03

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2008.02.003

openalex_workW1964073591

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