1 |
Rene M. Stulz: Option on the Minimum or Maximum of Two Risky Assets. Journal of Financial Economics 10, 161-185.
DOI
|
2 |
F. Black & M. Scholes: The Pricing of Options and Corporate Liabilities. Journal of Political Economics 81 (1973), 637-654.
DOI
|
3 |
U. Cherubini, E. Luciano & W. Vecchiato: Copula Methods in Finance. John Wiley & Sons, 2004.
|
4 |
John C. Hull: Options, Futures, and Other Derivatives. Prentice Hall, Seventh edition, 2009.
|
5 |
Mario R. Melchiori: Which Archimedean Copula is the right one?. The YieldCurve.com e-Journal, 2003.
|
6 |
Viviane Y. Naimy: Gaussian Copula vs Loans Loss Assessment: A Simplified and EasyTo-Use Model. Journal of Business Case Studies 8 (2012), 533-542.
DOI
|
7 |
Roger B. Nelsen: An Introduction to Copulas. Second Edition. Springer Verlag, New York, 2006.
|
8 |
Arbenz, Philipp: Bayesian Copulae Distributions, with Application to Operational Risk Management-Some Comments. Methodology and Computing in Applied Probability 15 (2013), no. 1, 105-108.
DOI
|
9 |
Yuqi Pu & Seki Kim, Pricing Forward-Future Spread based on Copulas with Stochastic Simulation. The Pure and Applied Mathematics 21 (2014), 77-93.
DOI
|