IEEE - Institute of Electrical and Electronics Engineers, Inc. - Pricing BDS Based on Distorted Copulas Functions

2008 International Conference on Multimedia and Information Technology (MMIT 2008)

Author(s): Zhengsheng Chen ; Xuezhi Qin
Sponsor(s): Int. Sci. Eng. Center, Hong Kong
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2008
Conference Location: Three Gorges, China
Conference Date: 30 December 2008
Page(s): 771 - 774
ISBN (Paper): 978-0-7695-3556-2
DOI: 10.1109/MMIT.2008.125
Regular:

The appearance of new Copula functions-distorted Copula functions are attracted more and more attention. In this paper, by using Monte Carlo simulation, we find that the tail dependence of... View More

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