Bivariate option pricing using dynamic copula models

Insurance: Mathematics and Economics

Volumn 37, Issue 1 SPEC. ISS., 2005, Pages 101-114

  van den Goorbergh, Rob W J ^a   Genest, Christian ^b   Werker, Bas J M ^c  

^a Research Department   (Netherlands)

^b UNIVERSITÉ LAVAL   (Canada)

^c TILBURG UNIVERSITY   (Netherlands)

Author keywords

Archimedean copula; ARMA model; Best of two markets options; Kendall's tau; Non normality; Time varying dependence

Indexed keywords

EID: 23444434142     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.01.008     Document Type: Article

References (32)

1. Y. Ait-Sahalia A.W. Lo Nonparametric estimation of state-price densities implicit in financial asset prices J. Finan. 53 1998 499-547
2. F. Black M.S. Scholes The pricing of options and corporate liabilities J. Pol. Econ. 81 1973 637-654
3. T. Bollerslev Generalized autoregressive conditional heteroskedasticity J. Econ. 31 1986 307-327
4. Boyer B.H., Gibson, M.S., Loretan, M., 1999. Pitfalls in tests for changes in correlations. International Finance Discussion Papers, No 597, Board of Governors of the Federal Reserve System, Washington, DC.
5. U. Cherubini E. Luciano Bivariate option pricing with copulas Appl. Math. Finan. 9 2002 69-86
6. F. Comte O. Lieberman Asymptotic theory for multivariate GARCH processes J. Multivariate Anal. 84 2003 61-84
7. J.C. Cox S.A. Ross M. Rubinstein Option pricing: A simplified approach J. Finan. Econ. 7 1979 229-263
8. J.-C. Duan The GARCH option pricing model Math. Finan. 5 1995 13-32
9. P. Embrechts A.J. McNeil D. Straumann Correlation and dependence in risk management: Properties and pitfalls in: M.A.H. Dempster (Eds.) Risk Management: Value at Risk and Beyond 2002 Cambridge University Press Cambridge, England 176-223
10. R.F. Engle K.F. Kroner Multivariate simultaneous generalized ARCH Econ. Theory 11 1995 122-150
11. Fermanian, J.-D., Wegkamp, M.J., 2004. Time-dependent copulas. Working Paper, Centre de recherche en économie et en statistique, Paris, France.
12. P. Gänssler W. Stute Seminar on Empirical Processes, DMV Seminar 9 1987 Birkhäuser Basel, Switzerland
13. C. Genest Frank's family of bivariate distributions Biometrika 74 1987 549-555
14. C. Genest K. Ghoudi L.-P. Rivest A semiparametric estimation procedure of dependence parameters in multivariate families of distributions Biometrika 82 1995 543-552
15. C. Genest R.J. MacKay Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données Can. J. Stat. 14 1986 145-159
16. C. Genest L.-P. Rivest Statistical inference procedures for bivariate Archimedean copulas J. Am. Stat. Assoc. 88 1993 1034-1043
17. C. Genest B.J.M. Werker Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models in: C.M. Cuadras J. Fortiana J.A. Rodríguez-Lallena (Eds.) Distributions With Given Marginals and Statistical Modelling 2002 Kluwer Dordrecht, The Netherlands 103-112
18. K. Ghoudi A. Khoudraji L.-P. Rivest Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles Can. J. Stat. 26 1998 187-197
19. H. Johnson Options on the maximum or the minimum of several assets J. Finan. Quant. Analysis 22 1987 277-283
20. W. Margrabe The value of an option to exchange one asset for another J. Finan. 33 1978 177-186
21. R.B. Nelsen An Introduction to Copulas, Lecture Notes in Statistics No. 139 1999 Springer New York
22. Patton, A.J., 2003. Modeling asymmetric exchange rate dependence. Discussion Paper 01-09, University of California, San Diego, CA.
23. A.J. Patton On the out-of-sample importance of skewness and asymmetric dependence for asset allocation J. Finan. Econ. 2 2004 130-168
24. E. Reiner Quanto mechanics, From Black-Scholes to Black Holes: New Frontiers in Options 1992 RISK Books London 147-154
25. J.V. Rosenberg Pricing multivariate contingent claims using estimated risk-neutral density functions J. Int. Money Finan. 17 1998 229-247
26. Rosenberg, J.V., 1999. Semiparametric pricing of multivariate contingent claims. Working Paper S-99-35, Stern School of Business, New York University, New York.
27. J.V. Rosenberg Nonparametric pricing of multivariate contingent claims J. Derivatives 10 2003 9-26
28. J.H. Shih T.A. Louis Inferences on the association parameter in copula models for bivariate survival data Biometrics 51 1995 1384-1399
29. D.C. Shimko Options on futures spreads: Hedging, speculation, and valuation J. Futures Markets 14 1994 183-213
30. A. Sklar Fonctions de répartition à n dimensions et leurs marges Publ. Inst. Statist. Univ. Paris 8 1959 229-231
31. R.M. Stulz Options on the minimum or the maximum of two risky assets: analysis and applications J. Finan. Econ. 10 1982 161-185
32. A.W. van der Vaart J.A. Wellner Weak Convergence and Empirical Processes 1996 Springer New York