Bivariate option pricing with copulas

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 tha...

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Bibliographische Detailangaben

Veröffentlicht in:	Applied mathematical finance. 2002-06, Vol.9 (2), p.69-85
Hauptverfasser:	Cherubini, U., Luciano, E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Bivariate Option Pricing Copula Functions Pricing Kernel
Online-Zugang:	Volltext
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