Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach (2019)
- Authors:
- USP affiliated authors: CANCHO, VICENTE GARIBAY - ICMC ; LOUZADA NETO, FRANCISCO - ICMC ; LOPES, LUCAS PEREIRA - INTER: ICMC -UFSCAR
- Unidades: ICMC; INTER: ICMC -UFSCAR
- DOI: 10.1214/19-BJPS445
- Subjects: MÉTODOS MCMC; INFERÊNCIA BAYESIANA; SIMULAÇÃO (ESTATÍSTICA)
- Keywords: Option pricing; heterocedastic; copula
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título: Brazilian Journal of Probability and Statistics
- ISSN: 0103-0752
- Volume/Número/Paginação/Ano: v. 33, n. 4, p. 801-825
- Este periódico é de assinatura
- Este artigo é de acesso aberto
- URL de acesso aberto
- Cor do Acesso Aberto: bronze
-
ABNT
LOPES, Lucas Pereira e CANCHO, Vicente Garibay e LOUZADA, Francisco. Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach. Brazilian Journal of Probability and Statistics, v. 33, n. 4, p. 801-825, 2019Tradução . . Disponível em: https://doi.org/10.1214/19-BJPS445. Acesso em: 10 nov. 2024. -
APA
Lopes, L. P., Cancho, V. G., & Louzada, F. (2019). Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach. Brazilian Journal of Probability and Statistics, 33( 4), 801-825. doi:10.1214/19-BJPS445 -
NLM
Lopes LP, Cancho VG, Louzada F. Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach [Internet]. Brazilian Journal of Probability and Statistics. 2019 ; 33( 4): 801-825.[citado 2024 nov. 10 ] Available from: https://doi.org/10.1214/19-BJPS445 -
Vancouver
Lopes LP, Cancho VG, Louzada F. Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach [Internet]. Brazilian Journal of Probability and Statistics. 2019 ; 33( 4): 801-825.[citado 2024 nov. 10 ] Available from: https://doi.org/10.1214/19-BJPS445 - Pricing Rainbow Options Using Garch-Copula
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Informações sobre o DOI: 10.1214/19-BJPS445 (Fonte: oaDOI API)
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