Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
نویسندگان
چکیده
منابع مشابه
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as well as the time varying volatility that are often found in financial data, generalized hyperbolic (GH) distribution is used for innovations. As t...
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ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2009
ISSN: 1351-847X,1466-4364
DOI: 10.1080/13518470902895344