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Search: subject:"Multivariate Contingent Claim"
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Multivariate contingent claim
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Option pricing theory
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Dalla Valle, Luciana
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De Giuli, Maria Elena
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Manelli, Claudio
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Tarantola, Claudia
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Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
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Review of derivatives research
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ECONIS (ZBW)
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Default Probability Estimation via Pair Copula Constructions
Dalla Valle, Luciana
;
De Giuli, Maria Elena
;
Manelli, …
-
Dipartimento di Scienze Economiche e Aziendali, …
-
2013
multivariate
contingent
claim
analysis and pair copula theory. Balance sheet data are used to asses the firm value and to compute …
Persistent link: https://www.econbiz.de/10010691650
Saved in:
2
Default probability estimation via pair copula constructions
Dalla Valle, Luciana
;
De Giuli, Maria Elena
;
Tarantola, …
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
Saved in:
3
A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
Vitiello, Luiz
;
Rebelo, Ivonia
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 291-300
Persistent link: https://www.econbiz.de/10011477304
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