Cherubini, U.; Luciano, E. - In: Applied Mathematical Finance 9 (2002) 2, pp. 69-85
The adoption of copula functions is suggested in order to price bivariate contingent claims. Copulas enable the marginal distributions extracted from vertical spreads in the options markets to be imbedded in a multivariate pricing kernel. It is proved that such a kernel is a copula function, and...