Option prices and risk‐neutral densities for currency cross rates
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Cited by:
- Kenichiro Shiraya & Tomohisa Yamakami, 2023. "Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility," Papers 2301.10044, arXiv.org.
- Shiraya, Kenichiro & Yamakami, Tomohisa, 2024. "Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1195-1214.
- Kopaliani, R. & Denisov, N., 2023. "Composite option pricing and the volatility surface construction," Journal of the New Economic Association, New Economic Association, vol. 60(3), pages 27-48.
- Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
- Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
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