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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
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 static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010750766
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2007
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010750828
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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2009
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010738494
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
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 static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010738655
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Extreme values of random or chaotic discretization steps
Garcin, Matthieu; Guegan, Dominique - HAL - 2012
By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...
Persistent link: https://www.econbiz.de/10010635212