Pricing bivariate option under GARCH processes with time-varying copula
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DOI: 10.1016/j.insmatheco.2008.02.003
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00286054
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- Zhang, J. & Guégan, D., 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1095-1103, June.
- Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Documents de travail du Centre d'Economie de la Sorbonne b08015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259242, HAL.
References listed on IDEAS
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Citations
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- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- Xing Yang & Yi-ting Ye & Jia-wen Li & Jun-long Mi, 2023. "Asymmetric time-varying dependence and variable structure dependence measurement and analysis of EUA and CER," International Journal of Low-Carbon Technologies, Oxford University Press, vol. 18, pages 609-621.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2011.
"Multivariate option pricing with time varying volatility and correlations,"
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- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
- ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010. "Multivariate option pricing with time varying volatility and correlations," LIDAM Discussion Papers CORE 2010020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
- Jeroen Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers 2010s-23, CIRANO.
- Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
- Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
- Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence between coffee qualities: a copula model to evaluate asymmetric responses," MPRA Paper 75994, University Library of Munich, Germany.
- Emmanuel Afuecheta & Saralees Nadarajah & Stephen Chan, 2021. "A Statistical Analysis of Global Economies Using Time Varying Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1167-1194, December.
- Thijs Markwat, 2014. "The rise of global stock market crash probabilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 557-571, April.
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More about this item
Keywords
Call-on-max option; GARCH process; Kendall's tau; Copula; Dynamic Copula; Time-varying parameter;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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