Multivariate Option Pricing Using Copulae

@inproceedings{Bernard2010MultivariateOP,
  title={Multivariate Option Pricing Using Copulae},
  author={Carole Bernard and Claudia Czado},
  year={2010}
}
The complexity of financial products significantly increased in the past ten years. In this paper we investigate the pricing of basket options and more generally of complex exotic contracts depending on multiple indices. Our approach assumes that the underlying assets evolve as dependent GARCH(1,1) processes and it involves to model the dependency among the assets using a copula based on pair-copula constructions. Unlike most previous studies on this topic, we do not assume that the dependence… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 24 references

Locally-Capped Investment Products and the Retail Investor,

C. Bernard, P. Boyle, W. Gornall
Working Paper available at SSRN • 2010
View 8 Excerpts
Highly Influenced

Bivariate option pricing with copulas

View 5 Excerpts
Highly Influenced

Pricing with a Smile

View 3 Excerpts
Highly Influenced

Efficient Bayesian inference for stochastic time-varying copula models

Computational Statistics & Data Analysis • 2012
View 2 Excerpts

Copula goodness-of-fit testing: an overview and power comparison,

D. Berg
The European Journal of Finance, • 2009

Goodness-of-fit tests for copulas: a review and a power study,

C. Genest, B. Rémillard, D. Beaudoin
Insurance: Mathematics and Economics, • 2009

A Copula-Based Approach to Option Pricing and Risk Assessment,

S. Chiou, R. Tsay
Journal of Data Science, • 2008

Similar Papers

Loading similar papers…