Pricing a bivariate option with copulas
Christian Bucio-Pacheco, Francisco Lopez-Herrera, Roberto J. Santillán-Salgado
| Year of publication: |
2018
|
|---|---|
| Authors: | Bucio-Pacheco, Christian ; López Herrera, Francisco ; Santillán Salgado, Roberto Joaquín |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-229X, ZDB-ID 3004039-5. - Vol. 4.2018, 1, p. 74-87
|
| Subject: | derivatives | exotic options | bivariate options | copulas | dynamic copulas | GARCH modelling | static valuation models | dynamic valuation models | Mexico's Stock Exchange index | Standard & Poor's 500 index | options on stock market indices | Multivariate Verteilung | Multivariate distribution | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Index-Futures | Index futures | ARCH-Modell | ARCH model | Aktienindex | Stock index | Mexiko | Mexico | Volatilität | Volatility | Aktienmarkt | Stock market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBD.2018.097445 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012253407