On a property of multidimensional normal distributions and its application to the computation of options
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Publication:960734
DOI10.1134/S1064562407030052zbMath1158.62041OpenAlexW2087295105MaRDI QIDQ960734
Yu. V. Romanyuk, Alexander V. Melnikov
Publication date: 19 January 2009
Published in: Doklady Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s1064562407030052
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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