Pricing bivariate option under GARCH processes with time-varying copula

DOI10.1016/j.insmatheco.2008.02.003zbMath1141.91478OpenAlexW1964073591MaRDI QIDQ931205

J. Zhang, Dominique Guégan

Publication date: 25 June 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.02.003

zbMATH Keywords

copulaKendall's tauGARCH processtime-varying parameterdynamic copulacall-on-max option

Mathematics Subject Classification ID

Related Items (3)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• An introduction to copulas. Properties and applications
• Bivariate option pricing using dynamic copula models
• THE GARCH OPTION PRICING MODEL
• A note on adjusting correlation matrices
• A new look at the statistical model identification
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