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Pricing multi-asset options with levy copulas

Dushimimana, Jean Claude - 2011

[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … op meervoudige bates.Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levycopulas laat toe … van meerveranderlike Levy prosessemet behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige …

Persistent link: https://www.econbiz.de/10009429598

Modelling dependent risks for insurer risk management: experimental studies with copulas

Wu, Mei Lan, Actuarial Studies, Australian School of … - 2007

The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of …) methods. Archimedean copulas are one of the most important classes of copulas that are widely used in both finance and … insurance for modelling dependent risks. However, simulating multivariate Archimedean copulas has always been a difficult task …

Persistent link: https://www.econbiz.de/10009484265

A multivariate jump-driven financial asset model

Luciano, Elisa; Schoutens, Wim - In: Quantitative Finance 6 (2006) 5, pp. 385-402

We discuss a Levy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behaviour of a series of stocks or indexes and to study a multi-firm, value-based default model. Starting from an independent Brownian...

Persistent link: https://www.econbiz.de/10009208281