Bivariate option pricing with copulas

By Umberto Cherubini, Elisa Luciano. 2002

129 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/41cdc00d36a89c0e35f26134fde855e34e6ceede

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Citations in the corpus

Static-arbitrage upper bounds for the prices of basket options (2005, methodology): “For a basket with two assets this is the approach taken by Rapuch and Roncalli (2002) and Cherubini and Luciano (2002) and has the advantage that it applies simultaneously to a wide class of exotic options, including the basket option.”
A multivariate jump-driven financial asset model (2006, unknown): “However, as soon as one introduces more sophisticated assumptions on the marginal models, such as stochastic volatility features, while preserving a Gaussian dependence structure, there is no guarantee any more that dependence under the risk-neutral and the historical measure coincide (see for insta”
Goodness-of-fit Procedures for Copula Models Based on the Integral Probability Transformation (2003, methodology): “For recent applications of copula models in biostatistics, actuarial science and finance, see for instance Frees & Valdez (1998), Klugman & Parsa (1999), Bandeen-Roche & Liang (2002), Cherubini & Luciano (2002) , Hennessy & Lapan (2002), and Lambert & Vandenhende (2002).”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “5 See Frees et al. (1996), Bouyé et al. (2000a, 2000b), Cherubini and Luciano (2001, 2002), Costinot et al. (2000), Li (2000), Fermanian and Scaillet (2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001),…”
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001, unknown): “We propose the following speci ̄cation for the elements of ¦t: 1⁄4(1)t = 1⁄4 1 (Zt; ̄;Pt) = ¤ μ ̧1 (Z1t; ̄1)¡ ln · 1 ¡ p1t p1t ̧¶ (14) 1⁄4t = 1⁄4 j (Zt; ̄; Pt)”
The Advent of Copulas in Finance (2009, background): “Beginning with their 2002 paper, Cherubini and Luciano have been among the main contributors to this area, which is discussed in detail in the book by Cherubini, Luciano, and Vecchiato (2004) .”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, background): “…include Hull and White (1998), Rosenberg (2003), Costinot, et al. (2000), Li (2000), Frey and McNeil (2001), Schonbucher and Schubert (2001), Cherubini and Luciano (2001, 2002), Duan (2002), Hu (2002), Junker and May (2002), Mashal and Zeevi (2002), Patton (2002a, b, 2004), Rockinger and…”
Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006, background): “…of copula modelling in the latter fields, see for instance Frees & Valdez (1998), Klugman & Parsa (1999), Li (2000), Belguise & Lévi (2001, 2002), Cherubini & Luciano (2002), Embrechts et al. (2002), Hennessy & Lapan (2002), Lauprete et al. (2002), Dakhli (2004) and van den Goorbergh et al.…”