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Bivariate option pricing with copulas

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References

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2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
1994Implied Binomial Trees1,749 cited
1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
1998Understanding Relationships Using Copulas1,258 cited
1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
1982Options on the minimum or the maximum of two risky assets553 cited
1999Correlation: Pitfalls and Alternatives309 cited
1996Pricing Black-Scholes options with correlated credit risk270 cited

Cited by

2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method142 cited
2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates120 cited
2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data78 cited

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2005

Static-arbitrage optimal subreplicating strategies for basket options

56 cited

2007Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement52 cited

2005Sharp Upper and Lower Bounds for Basket Options51 cited

2005Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market51 cited

2016Joint price and volumetric risk in wind power trading: A copula approach48 cited

2005New Families of Copulas Based on Periodic Functions43 cited

2005On a multivariate Markov chain model for credit risk measurement43 cited

2003Goodness-of-fit Procedures for Copula Models Based on the Integral Probability Transformation42 cited

2006Pricing multivariate currency options with copulas41 cited

2008Copula-based measures of dependence structure in assets returns36 cited

2006A multivariate jump-driven financial asset model34 cited

2003Pricing Vulnerable Options With Copulas34 cited

2011Multivariate option pricing with time varying volatility and correlations33 cited