Pricing Equity Derivatives using Copulas

quant99trader · January 11th, 2008, 8:39 pm

Hi all,Does anyone know of any books/articles that describe the pricing of multi asset equity derivatives using copula functions as a means of corrleation (rather than correlating the assets instantaneously through Brownain Motions) ??

Jeans · January 26th, 2008, 3:30 pm

If you don't find anything else look at papers/books discussing the simulation of random variables w. copula functions as dependency structure and then do monte carlo simulations to evaluate the expected value...A good book is quantitative risk management by McNeil, Frey and Embrechts where chap. 5 is on this...if you need something faster than that/ analytical solutions I'm sorry...