Multivariate Option Pricing Using Dynamic Copula Models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Beatriz Vaz de Melo Mendes, 2005. "Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(2), pages 251-265.
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More about this item
Keywordsoption pricing; dynamic models; options;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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