activity
20102024
most citedNonparametric estimates of option prices via Hermite basis functions

1 citations · 1 across the 2 of their papers we have counts for

collaborators
Showing 2010Show all

1 paper · 1 filter

q-fin.RM2010

Multivariate heavy-tailed models for Value-at-Risk estimation

Carlo Marinelli, Stefano d'Addona, Svetlozar T. Rachev

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable…