We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones.

This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...