Pricing bivariate option under GARCH processes with time-varying copula (Q931205)
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scientific article; zbMATH DE number 5292548
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing bivariate option under GARCH processes with time-varying copula |
scientific article; zbMATH DE number 5292548 |
Statements
Pricing bivariate option under GARCH processes with time-varying copula (English)
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25 June 2008
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call-on-max option
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GARCH process
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Kendall's tau
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copula
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dynamic copula
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time-varying parameter
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0.93023765
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0.92796063
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0.9025898
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0.9007313
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0.8988986
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0.89078856
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0.8872826
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0.8773102
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