Multivariate Option Pricing with Pair-Copulas
نویسندگان
چکیده
منابع مشابه
Bivariate option pricing with copulas
In this paper we suggest the adoption of copula functions in order to price bivariate contingent claims. Copulas enable us to imbed the marginal distributions extracted from vertical spreads in the options markets in a multivariate pricing kernel. We prove that such kernel is a copula function, and that its super-replication strategy is represented by the Fréchet bounds. As applications, we pro...
متن کاملPair-copula constructions of multivariate copulas
The famous Sklar’s theorem (see [54]) allows to build multivariate distributions using a copula and marginal distributions. For the basic theory on copulas see the first chapter ([14]) or the books on copulas by Joe ([32]) and Nelson ([51]). Much emphasis has been put on the bivariate case and in [32] and [51] many examples of bivariate copula families are given. However the class of multivaria...
متن کاملMultivariate Option Pricing Using Copulae
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-c...
متن کاملOption pricing using multivariate Lévy processes
For d-dimensional Lévy models we provide a method for Finite Element-based asset pricing. We derive the partial integrodifferential pricing equation and prove that the corresponding variational problem is well-posed. Hereto, an explicit characterization of the domain of the bilinear form is given. For the numerical implementation the problem is discretized by sparse tensor product Finite Elemen...
متن کاملMultivariate Option Pricing With Time Varying Volatility and Correlations
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des subventions et mandats obtenus par ses équ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Probability
سال: 2014
ISSN: 2356-7589,2314-8373
DOI: 10.1155/2014/839204