Quanto pricing with Copulas

Journal of Derivatives

Volumn 12, Issue 1, 2004, Pages 26-45

  Bennett, Michael N ^a   Kennedy, Joanne E ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84974535056     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2004.434535     Document Type: Article

References (15)

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3. Bliss, R. R., and N. Panigirtzoglou. "Testing the Stability of Implied Probability Density Functions." Journal of Banking and Finance, 26(2-3) (2002), pp. 381-422.
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6. Dupire, B. "Pricing with a Smile." Risk Magazine, 7 (January 1994).
7. Embrechts, P., F. Lindsog, and A. McNeil. "Modelling Dependence with Copulas and Applications to Risk Management." S. Rachev, ed., Handbook of Heavy Tailed Distributions in Finance. Oxford: Elsevier, 2003, pp. 329-384.
8. Genest C. Presentation at the Fourth International Symposium on Distributions with Given Marginals and Statistical Modelling, Barcelona, 2000.
9. Genz, A. "Numerical Computation of Rectangular Bivariate and Trivariate Normal and t Probabilities." Statistics and Computing, 14(3) (2004), pp. 151-160.
10. Joe, H. Multivariate Models and Dependence Concepts. London: Chapman and Hall, 1997.
11. Malz, M. "Estimating the Probability Distribution of the Future Exchange Rate from Option Prices." The Journal of Derivatives, 5(Winter 1997), 18-36.
12. Nelson, R. B. An Introduction to Copulas: Lecture Notes in Statistics. Berlin: Springer-Verlag, 1998.
13. Rosenberg, J. V. "Non-Parametric Pricing of Multivariate Contingent Claims." The Journal of Derivatives, 10 (Spring 2003).
14. Schönbucher, P. J., and D. Schubert. "Copula-Dependent Default Risk in Intensity Models." Working paper, University of Bonn, 2001.
15. Sherrick, B. J., P. Garcia, and V. Tirupattur. "Recovering Probabalistic Information From Option Markets: Tests of Distributional Assumptions. Journal of Futures Markets, 16(5) (1996), pp. 545-560.