The copula-opinion pooling (COP) approach extends in principle the Black-Litterman methodology to non-normally distributed markets and views. However, the implementations of the COP framework presented so far rely on restrictive quasi-normal assumptions. Here we present a general recipe to...

We extend the Black-Litterman methodology to generic non-normal market distributions and non-normal views. We draw on the copula and opinion pooling literature to express views directly on the market realizations, instead of the market parameters as in the Black-Litterman case. We compare the...

We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Levy-stable case....