Option pricing - Perturbed Gaussian copula: Introducing the skew effect in co-dependence - Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation. If stochastic volatility is introduced, skewness ...
| Year of publication: |
2012
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| Authors: | Elices, Alberto ; Fouque, Jean-Pierre |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 25.2012, 1, p. 94-100
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