Pricing vulnerable options with copulas

Journal of Risk Finance

Volumn 5, Issue 1, 2003, Pages 27-39

  Cherubini, Umberto ^a   Luciano, Elisa ^b,c  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b UNIVERSITY OF TURIN   (Italy)

^c International Centre for Economic Research   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17844392972     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/eb022977     Document Type: Article

References (9)

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2. Breeden, D., and R. Litzenberger. “Prices of State Contingent Claims Implicit in Option Prices." Journal of Business, 51 (1978), pp. 621-651.
3. Cherubini, U., and E. Luciano. “Bivariate Option Pricing with Copulas." Applied Mathematical Finance, Vol. 9, No. 2 (2002), pp. 69-86.
4. Duffie, D., and K.J. Singleton. Credit Risk. Princeton, NJ:Princeton University Press, 2003.
5. Hull, J., and A. White. “The Impact of Default Risk on the Prices of Options and Other Derivative Securities." Journal of Banking and Finance, 19 (1995), pp. 299-322.
6. Jarrow, B., and S. Turnbull. “Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance, 50 (1995), pp. 53-85.
7. Johnson, H., and R. Stulz. “The Pricing of Options with Default Risk." Journal of Finance, 42 (1987), pp. 267-280.
8. Li, D.X. “On Default Correlation: A Copula Function Approach." The Journal of Fixed Income, March 2000, pp. 43-54.
9. Nelsen, R.B. An Introduction to Copulas. New York: Springer, 1999.