THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS

DOI10.1111/j.1467-9965.2009.00388.xzbMath1182.91168OpenAlexW2036408241MaRDI QIDQ5190050

Umberto Cherubini, Silvia Romagnoli

Publication date: 12 March 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00388.x

zbMATH Keywords

Markov processescopula functionsbarrier optionsmultivariate options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Measure-invariance of copula functions as tool for testing no-arbitrage assumption ⋮ A copula-based model of speculative price dynamics in discrete time ⋮ A Compendium of Copulas

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• An introduction to copulas.
• Processes that can be embedded in Brownian motion
• Bivariate option pricing using dynamic copula models
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A note on adjusting correlation matrices
• On the Decomposition of Continuous Submartingales
• ON CONTINUOUS MARTINGALES

This page was built for publication: THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS