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Document type:
Zeitschriftenaufsatz 
Author(s):
Bernard, C., and Czado, C. 
Title:
Multivariate option pricing using copulae 
Abstract:
The complexity of financial products significantly increased in the past ten years. In this paper we investigate the pricing of basket options and more generally of complex exotic contracts depending on multiple indices. Our approach assumes that the underlying assets evolve as dependent GARCH(1,1) processes and it involves to model the dependency among the assets using a copula based on pair-copula constructions. Unlike most previous studies on this topic, we do not assume that the...    »
 
Keywords:
Pair-copula construction, basket options, multivariate derivatives, pricing. 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2013 
Journal volume:
29 
Year / month:
2013-09 
Journal issue:
Pages contribution:
509–526 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
Format:
Text