Copulas , multivariate risk-neutral distributions and implied dependence functions

@inproceedings{LyonnaisCopulasM,
  title={Copulas , multivariate risk-neutral distributions and implied dependence functions},
  author={Cr{\'e}dit Lyonnais and Valdo Durrleman}
}
In this paper, we use copulas to define multivariate risk-neutral distributions. We can then derive general pricing formulas for multi-asset options and best possible bounds with given volatility smiles. Finally, we apply the copula framework to define 'forward-looking' indicators of the dependence function between asset returns. 
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