Pricing bivariate option under GARCH processes with time-varying copula
نویسندگان
چکیده
منابع مشابه
Pricing bivariate option under GARCH processes with time-varying copula
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model determined by dynamic depe...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2008
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2008.02.003