Multivariate Option Pricing With Copulas

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Subfields: Finance

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Testing the Gaussian copula hypothesis for financial assets dependences (2001, unknown): “…used by Embrechts et al (2001) to provide various bounds for the value-at-risk of a portfolio made of dependent risks, and by Rosenberg (1999) or Cherubini and Luciano (2000) to price and to analyse the pricing sensitivity of binary digital options or options on the minimum of a basket of…”
Estimation of Copula-Based Semiparametric Time Series Models (2006, background): “4 Specific applications include Rosenberg (1999) and Cherubini and Luciano (2002) for multivariate option pricing, Hull and White (1998) and Embrechts et al. (2003) for portfolio Value-at-Risk, Li (2000) and Frey and McNeil (2001) for default and credit risk, Costinot et al. (2000) and Hu (2002)…”