Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics

Matthias R. Fengler; Helmut Herwartz; Christian Werner

Year of publication:	2010
Authors:	Fengler, Matthias R. ; Herwartz, Helmut ; Werner, Christian
Publisher:	St. Gallen : Dep. of Economics, Univ.
Subject:	Esscher Transform \| Optionsgeschäft \| Option trading \| Volatilität \| Volatility \| Korrelation \| Correlation \| Multivariate Verteilung \| Multivariate distribution \| ARCH-Modell \| ARCH model \| Deutschland \| Germany \| 2001-2005

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