Pricing Vulnerable Options With Copulas

Umberto Cherubini and Elisa Luciano

Journal of Risk Finance, 2003, vol. 5, issue 1, 27-39

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Date: 2003
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Working Paper: Pricing Vulnerable Options with Copulas (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:eb022977

DOI: 10.1108/eb022977

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