Computing the Volume ofn-Dimensional Copulas

DOI10.1080/13504860802597311zbMath1179.91260OpenAlexW2081878172MaRDI QIDQ3652699

Umberto Cherubini, Silvia Romagnoli

Publication date: 16 December 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802597311

zbMATH Keywords

copula functionsmultivariate optionscopula volumecomputational pricing methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Computing the volume of a high-dimensional semi-unsupervised hierarchical copula ⋮ A hierarchical copula-based world-wide valuation of sovereign risk

Uses Software

• QRM

Cites Work

• An introduction to copulas.
• Hierarchies of Archimedean copulas
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