Pricing bivariate option under GARCH processes with time-varying copula

Insurance: Mathematics and Economics

Volumn 42, Issue 3, 2008, Pages 1095-1103

  Zhang, J ^a,b,c   Guegan D ^c  

^a UNIVERSITÉ PARIS SACLAY   (France)

^b EAST CHINA NORMAL UNIVERSITY   (China)

^c UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Call on max option; Copula; Dynamic Copula; GARCH process; IE50; Kendall's tau; Time varying parameter

Indexed keywords

EID: 43849091476     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.02.003     Document Type: Article

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