Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

In this paper, we use copulas to define multivariate risk - neutral distributions. We can then derive general pricing formulas for multi - asset options and best possible bounds with given volatility smiles. Finally, we then apply the copula framework to define 'forward-looking' indicators of the dependence function between asset returns

MoreLess

Year of publication:	[2007]
Authors:	Coutant, Sophie
Other Persons:	Durrleman, Valdo (contributor) ; Rapuch, Grégory (contributor) ; Roncalli, Thierry (contributor)
Publisher:	[2007]: [S.l.] : SSRN

More details
Report error

Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 5, 2001 erstellt
Other identifiers:	10.2139/ssrn.1032562 [DOI]
Classification:	G00 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012728562