Pricing Rainbow Options Using Garch-Copula (2018)
- Authors:
- USP affiliated authors: CANCHO, VICENTE GARIBAY - ICMC ; LOUZADA NETO, FRANCISCO - ICMC ; LOPES, LUCAS PEREIRA - Interinstitucional de Pós-Graduação em Estatística
- Unidades: ICMC; Interinstitucional de Pós-Graduação em Estatística
- Subjects: DISTRIBUIÇÕES (PROBABILIDADE); MERCADO FINANCEIRO
- Language: Inglês
- Imprenta:
- Publisher: ICMC/USP - DEs/UFSCar
- Publisher place: São Carlos
- Date published: 2018
- Source:
- Título: Abstracts
- Conference titles: Workshop on Probabilistic and Statistical Methods - WPSM
-
ABNT
LOPES, Lucas Pereira e CANCHO, Vicente Garibay e LOUZADA, Francisco. Pricing Rainbow Options Using Garch-Copula. 2018, Anais.. São Carlos: ICMC/USP - DEs/UFSCar, 2018. Disponível em: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf. Acesso em: 03 jan. 2026. -
APA
Lopes, L. P., Cancho, V. G., & Louzada, F. (2018). Pricing Rainbow Options Using Garch-Copula. In Abstracts. São Carlos: ICMC/USP - DEs/UFSCar. Recuperado de http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf -
NLM
Lopes LP, Cancho VG, Louzada F. Pricing Rainbow Options Using Garch-Copula [Internet]. Abstracts. 2018 ;[citado 2026 jan. 03 ] Available from: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf -
Vancouver
Lopes LP, Cancho VG, Louzada F. Pricing Rainbow Options Using Garch-Copula [Internet]. Abstracts. 2018 ;[citado 2026 jan. 03 ] Available from: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf - Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach
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