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Pricing bivariate option under GARCH processes with time-varying copula
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Pricing bivariate option under GARCH processes with time-varying copula (2008)Pricing bivariate option under GARCH proc…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Theory of rational option pricing (2005)Theory of rational option pri…Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…An Introduction to Copulas (1999)An Introduction to CopulasTHE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELOptions on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)An Intertemporal Capital Asset Pricing Model (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)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1987Options on the Maximum or the Minimum of Several Assets405 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2002Risk Management: Value at Risk and Beyond

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