Co-movements, option pricing and risk management: an application to WTI versus Brent spread options

Co-moments of asset returns play a major role in financial contagion during crises. We study the properties of a particular specification of the generalized bivariate normal distribution which allows for co-volatility and co-skewness. With this probability distribution, formulae for single-name and...

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Detalles Bibliográficos
Autores principales: De Giovanni, Domenico, Leccadito, Arturo, Loccisano, Debora
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9662137/
https://www.ncbi.nlm.nih.gov/pubmed/36407942
http://dx.doi.org/10.1007/s10479-022-05059-7

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9662137/
https://www.ncbi.nlm.nih.gov/pubmed/36407942
http://dx.doi.org/10.1007/s10479-022-05059-7

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