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Pricing Vulnerable Options With Copulas
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Pricing Vulnerable Options With Copulas (2003)Pricing Vulnerable Options With CopulasCredit Risk (2003)Credit RiskBivariate option pricing with copulas (2002)Bivariate option pricing with…An Introduction to Copulas (1999)An Introduction to CopulasThe impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…The Pricing of Options with Default Risk (1987)The Pricing of Options with D…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Abstracts and Reviews (2005)Abstracts and ReviewsA folk theorem for minority games (2004)A folk theorem for minority g…Insurance premia consistent with the market (2002)Insurance premia consistent w…The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Pricing Black-Scholes options with correlated credit risk (1996)Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)The intersection of market and credit risk (2000)Theory of Value (1959)Implied Binomial Trees (1994)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 Folk Theorem in Repeated Games with Discounting or with Incomplete Information (1986)Inductive Reasoning and Bounded Rationality (1994)Complexity and the Economy (1999)Improving the public transit system for routes with scheduled headways (2013)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Theory of Rational Option Pricing (1973)On the Corporate Demand for Insurance: Evidence from the Reinsurance Market (1990)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Coherent Risk Measures on General Probability Spaces (2002)Pricing rules and Arrow–Debreu ambiguous valuation (2011)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004)Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data (2015)The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method (2018)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)How Profitable Is Capital Structure Arbitrage? (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2003Credit Risk560 cited
  • 1987The Pricing of Options with Default Risk344 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited
  • 2002Bivariate option pricing with copulas123 cited

Cited by

  • 2002Insurance premia consistent with the market44 cited
  • 2004A folk theorem for minority games31 cited
  • 2005Abstracts and Reviews13 cited

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