Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Dependence Delta"
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Exotic derivatives pricing using copula-based martingale approach
(Strathmore University, 2018)This study examines the pricing of bivariate exotic derivatives, namely: capped spread option and bivariate digital options, using martingale approach and pair copulae formulations. Pair copulae is used to capture the joint ...