Zhang, J.; Guégan, D. - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 1095-1103
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any...