Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach
This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior of the call-on-max (bivariate) option considering marginal heteroscedastic mo...
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| Format: | Others |
| Language: | en |
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Biblioteca Digitais de Teses e Dissertações da USP
2019
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| Online Access: | http://www.teses.usp.br/teses/disponiveis/104/104131/tde-06082019-155540/ |