meteor,give me ur e-mail and i will send it to you..i'm not sure if by putting it on the forum i will be violating the copyright rules..especially that it's an article from wilmott

<t>QuoteOriginally posted by: genkideskasounds not so bad for me. what are you modelling precisely. the time of default? after having the [0,1] uniform distributed rv with the desired dependencestructure you have to apply the inverse of the marginal cdf to each component of your random vector...i am...

<t>hi everybody,this might be trivial to many of you..I'm implementing pricing basket options using copulas(recent paper by Dong Qu published in wilmott)..i'm testing the simplest situation..a black scholes world(where cdf's can be calculated explicitly), but the basket prices results are quite far ...

Quixote, the paper can be googled(non -gaussian option pricing with skew,from lisa borland)..

Hi, Has anyone tried finding option prices by simulation of the non-gaussian model with skew(dS=rSdt+sigma*(S^alpha)(S0^1-alpha)domega,domega=(P(omega))^1-q*dz..I'm getting strange things...and I'm not sure if this is because of the starting point of the simulation..any help?[