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Semiparametric Pricing of Multivariate Contingent Claims. (1999). Rosenberg, Joshua.
In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
RePEc:fth:nystfi:99-028.

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Cited: 25

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  1. Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas. (2021). Wendkouni, Yameogo ; Barro, Diakarya ; Mallam, Hassane Abba ; Saley, Bisso.
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    RePEc:arx:papers:2105.10599.

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  2. .

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  3. Pricing multiasset equity options: How relevant is the dependence function?. (2010). Joossens, Elisabeth ; Campolongo, Francesca ; Bedendo, Mascia ; Saita, Francesco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:4:p:788-801.

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  4. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market. (2009). GUEGAN, Dominique ; Zang, Jing .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:15:y:2009:i:7-8:p:777-795.

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  5. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market. (2009). Zhang, Jing ; Guegan, Dominique.
    In: PSE-Ecole d'économie de Paris (Postprint).
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  6. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market. (2009). Guegan, Dominique ; Zhang, Jing.
    In: Post-Print.
    RePEc:hal:journl:halshs-00368336.

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  7. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market. (2009). GUEGAN, Dominique ; Zhang, Jing.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00368336.

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  8. Pricing bivariate option under GARCH processes with time-varying copula. (2008). Guegan, Dominique ; Zhang, Jing.
    In: PSE-Ecole d'économie de Paris (Postprint).
    RePEc:hal:pseptp:halshs-00286054.

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  9. Pricing bivariate option under GARCH processes with time-varying copula. (2008). Guegan, Dominique ; Zhang, Jing.
    In: Post-Print.
    RePEc:hal:journl:halshs-00286054.

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  10. Pricing bivariate option under GARCH processes with time-varying copula. (2008). Guegan, Dominique ; Zhang, Jing.
    In: Post-Print.
    RePEc:hal:journl:halshs-00259242.

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  11. Pricing bivariate option under GARCH processes with time-varying copula. (2008). GUEGAN, Dominique ; Zhang, Jing.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00286054.

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  12. Pricing bivariate option under GARCH processes with time-varying copula. (2008). zhang, jianhu ; GUEGAN, Dominique.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:3:p:1095-1103.

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  13. Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market. (2007). Guegan, Dominique ; Zhang, Jing.
    In: Post-Print.
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  14. Estimation of copula-based semiparametric time series models. (2006). Chen, Xiaohong ; Fan, Yanqin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:2:p:307-335.

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  15. Bivariate option pricing using dynamic copula models. (2005). Werker, Bas ; van den Goorbergh, Rob ; Genest, Christian.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:1:p:101-114.

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  16. Essays on optimal hedging and investment strategies and on derivative pricing. (2004). van den Goorbergh, Rob ; van den Goorbergh, R. W. J., .
    In: Other publications TiSEM.
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  17. Estimation of Copula-Based Semiparametric Time Series Models. (2004). Chen, Xiaohong ; Fan, Yanqin.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:559.

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  18. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). van den Goorbergh, Rob.
    In: DNB Working Papers.
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  19. Multivariate Option Pricing Using Dynamic Copula Models. (2003). Werker, B. J. M., ; Genest, C ; van den Goorbergh, R. W. J., .
    In: Other publications TiSEM.
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  20. Multivariate Option Pricing Using Dynamic Copula Models. (2003). Werker, Bas ; van den Goorbergh, Rob ; Genest, C. ; Werker, B. J. M., ; van den Goorbergh, R. W. J., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:86ec50af-0fb6-4782-b2dd-d24c1f28ae25.

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  21. Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85.

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  22. Multivariate Option Pricing with Copulas.. (2002). luciano, elisa ; Cherubini, Umberto .
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:05-2002.

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  23. On the out-of-sample importance of skewness and asymetric dependence for asset allocation. (2002). Patton, Andrew.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24951.

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  24. Estimation of Copula Models for Time Series of Possibly Different Length. (2001). Patton, Andrew.
    In: University of California at San Diego, Economics Working Paper Series.
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  25. Testing the Gaussian Copula Hypothesis for Financial Assets Dependences. (2001). Malevergne, Yannick ; Sornette, D..
    In: Papers.
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References

References cited by this document

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