Bivariate option pricing using dynamic copula models

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	101-114
Journal	Insurance Mathematics & Economics
Volume	37
Issue number	1
Publication status	Published - 2005

Cite this

@article{6e03d3648bd4475c8c718b075d873c96,

title = "Bivariate option pricing using dynamic copula models",

author = "\{van den Goorbergh\}, R.W.J. and C. Genest and B.J.M. Werker",

note = "DP 03122 (RT)",

year = "2005",

language = "English",

volume = "37",

pages = "101--114",

journal = "Insurance Mathematics \& Economics",

issn = "0167-6687",

publisher = "Elsevier B.V.",

number = "1",

}