Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Kenichiro Shiraya, Tomohisa Yamakami
| Year of publication: |
2024
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|---|---|
| Authors: | Shiraya, Kenichiro ; Yamakami, Tomohisa |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 314.2024, 3 (1.5.), p. 1195-1214
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| Subject: | Copula | Correction of probability density | Currency option | Finance | Hermite polynomial expansion | Multivariate Verteilung | Multivariate distribution | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Wechselkurs | Exchange rate | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Devisenoption |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.11.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014456946