Modelling Asymmetric Dependence in Stochastic Volatility and Option Pricing: A Conditional Copula Approach
In this paper, stochastic volatility models with asymmetric dependence were presented and applied to pricing options. A dynamic conditional copula approach was proposed to capture this dependence asymmetry. This approach offered simplicity and flexibility, and yielded closed-form solutions for optio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-09-01
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| Series: | Scientific African |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2468227623002211 |