Bedendo, Mascia; Campolongo, Francesca; Joossens, Elisabeth - In: Journal of Banking & Finance 34 (2010) 4, pp. 788-801
In this paper we test how different choices for the dependence function can affect the prices of a set of multiasset equity options. We conduct the analysis for various 5-dimensional baskets of UK shares, and a wide range of payoffs for the multiasset options, consistent with the instruments...