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woodsdevil
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Posts: 176
Joined: March 29th, 2004, 2:12 pm

Simulate any Copula in MC

February 2nd, 2020, 5:07 am

Hi.

Suppose that you know the joint distribution of N variables {Xi}, i.e. the Copula function as well as the individual marginals, i.e. Fi(alpha) = P(Xi < alpha), and C(a1,a2,..,an) = P(X1<a1,...,Xn<an). The Copula can be anything that is a valid Copula of course, but definitely not necessarily Gaussian, or even parametric.
How do you compute, in Monte-Carlo, the value of any payoff of {Xi} in Monte-Carlo ?

Thanks!
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