Pricing BDS Based on Distorted Copulas Functions

@article{Chen2008PricingBB,
  title={Pricing BDS Based on Distorted Copulas Functions},
  author={Zhengsheng Chen and Xuezhi Qin},
  journal={2008 International Conference on MultiMedia and Information Technology},
  year={2008},
  pages={771-774}
}
The appearance of new Copula functions-distorted Copula functions are attracted more and more attention. In this paper, by using Monte Carlo simulation, we find that the tail dependence of distorted Copula functions is better than that of normal Gaussian Copula functions. By using distorted copula functions to price BDS, we investigate the default risk of… CONTINUE READING