Pricing bivariate option under GARCH processes with time-varying copula
type: Item
instance of: scholarly article
title: Pricing bivariate option under GARCH processes with time-varying copula
zbMATH Open document ID: 1141.91478
author: J. Zhang
author: Dominique Guegan
published in: Insurance Mathematics \& Economics
publication date: 2008-06-25T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5292548
zbMATH Keywords: call-on-max option
zbMATH Keywords: GARCH process
zbMATH Keywords: Kendall's tau
zbMATH Keywords: copula
zbMATH Keywords: dynamic copula
zbMATH Keywords: time-varying parameter
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.02.003
OpenAlex ID: W1964073591
cites work: A new look at the statistical model identification
cites work: The pricing of options and corporate liabilities
cites work: A note on adjusting correlation matrices
cites work: THE GARCH OPTION PRICING MODEL
cites work: Bivariate option pricing using dynamic copula models
cites work: Q4382161
cites work: Q4905685
cites work: An introduction to copulas. Properties and applications
cites work: Q4226825
cites work: Q3281461
DOI: 10.1016/J.INSMATHECO.2008.02.003
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description: scientific article; zbMATH DE number 5292548