Pricing bivariate option under GARCH processes with time-varying copula

Insurance: Mathematics and Economics - Tập 42 - Trang 1095-1103 - 2008
J. Zhang1,2,3, D. Guégan3
1Ecole Normale Supérieure de Cachan, 61, avenue du président Wilson, 94230 Cachan Cedex, France
2East China Normal University, Department of Statistics, 3663 Zhongshan North Road, 200063 Shanghai, China
3Université Paris 1 Panthéon-Sorbonne, CES - MSE, 106 Boulevard de l’Hopital, 75013 Paris, France

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