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Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
Ibragimov, Rustam; Walden, Johan - In: Annals of Finance 7 (2011) 3, pp. 285-318
Persistent link: https://www.econbiz.de/10009326711
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Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
Brown, Donald J.; Ibragimov, Rustam - Cowles Foundation for Research in Economics, Yale University - 2005
dependence to the i.i.d. binomial case. Furthermore, we show that the expected payoff of a European call option in the …
Persistent link: https://www.econbiz.de/10005593290
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Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
Brown, Donald; Ibragimov, Rustam - School of Management, Yale University - 2005
dependence to the i.i.d. binomial case. Furthermore, we show that the expected payoff of a European call option in the …
Persistent link: https://www.econbiz.de/10008854014