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Multivariate Option Pricing with Copulas · Study

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PreprintMultivariate Option Pricing with Copulas

Elisa Luciano2001

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Preprintgreen2001

Multivariate Option Pricing with Copulas

Elisa Luciano · Umberto Cherubini

22 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999An Introduction to Copulas 1978Prices of State-Contingent Claims Implicit in Option Prices 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1994Implied Binomial Trees 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1998Understanding Relationships Using Copulas 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals 1982Options on the minimum or the maximum of two risky assets

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2004Multivariate Option Pricing Using Dynamic Copula Models

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2002Bivariate option pricing with copulasarticle · 9 shared references 2004Archimedean copulae and positive dependencearticle · 5 shared references 2017Applied Quantitative Financebook · 5 shared references 2003Nonparametric Pricing of Multivariate Contingent Claimspreprint · 5 shared references 2006A multivariate jump-driven financial asset modelarticle · 5 shared references 2004A folk theorem for minority gamesarticle · 5 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.269868

openalex_workW1560013058

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