Multivariate option price models and extremes

DOI10.1080/03610929608831736zbMath0875.62617OpenAlexW1983769271MaRDI QIDQ4337161

Juerg Hüsler

Publication date: 11 November 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831736

zbMATH Keywords

multivariate extremeslimiting distributiontriangular arraysCox-Ross-Rubinstein modeldependence of the componentsoption price model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Unnamed Item
• Stable distributions for asset returns
• A note on the independence and total dependence of max i.d. distributions
• A note on exceedances and rare events of non-stationary sequences
• Option pricing: A simplified approach

This page was built for publication: Multivariate option price models and extremes