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Pricing Multivariate Currency Options with Copulas

Schleicher, Christoph; Salmon, Mark - Financial Econometrics Research Centre, Warwick … - 2006

Persistent link: https://www.econbiz.de/10004981087

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Hurd, Matthew; Salmon, Mark; Schleicher, Christoph - C.E.P.R. Discussion Papers - 2005

We model the joint risk neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...

Persistent link: https://www.econbiz.de/10005661769

Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index

Hurd, Matthew; Salmon, Mark; Schleicher, Christoph - Bank of England - 2007

We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...

Persistent link: https://www.econbiz.de/10005737898

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Schleicher, Christoph; Hurd, Matthew; Salmon, Mark - Society for Computational Economics - SCE - 2005

We model the joint distribution between the euro-sterling and the dollar-sterling exchange rate using option-implied markginal distributions that are connected via a copula function. We then derive univariate distributions for the simpliefied sterling effective exchange rate index (ERI). Our...

Persistent link: https://www.econbiz.de/10005343054