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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| 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 |