Multivariate option pricing using copulae-Reference-Cited by-同舟云学术

Multivariate option pricing using copulae

Published:2012-07 Issue: Volume: Page:n/a-n/a
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Bernard Carole¹,Czado Claudia²

Affiliation:

1. University of Waterloo; Waterloo; Ontario; Canada

2. Technische Universität München; Garching; Germany

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.1934/fullpdf

Reference32 articles.

1. Galichon A Modelling correlation between two Markov diffusion processes: a copula approach, with application to stochastic correlation modelling 2006 Working paper

2. Pricing with a smile;Dupire;Risk,1994

3. Langnau A Introduction into ‘local correlation’ modelling 2009 ArXiv Working Paper 0909:3441v3

4. Nonparametric pricing of multivariate contingent claims;Rosenberg;Journal of Derivatives,2003

5. Bivariate option pricing with copulas;Cherubini;Applied Mathematical Finance,2002

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