Werker, Bas J.M.; van den Goorbergh, R.W.J.; Genest, C. - Tilburg University, Center for Economic Research - 2003
This paper examines the behavior of multivariate option prices in the presence of association between the underlying … that option prices implied by dynamic copula models differ substantially from prices implied by models that fix the … dependence between the underlyings, particularly in times of high volatilities. Furthermore, the normal copula produces option …