Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

15 Pages Posted: 26 Nov 2007

See all articles by Sophie Coutant

Sophie Coutant

Banque de France

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Grégory Rapuch

affiliation not provided to SSRN

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: September 5, 2001

Abstract

In this paper, we use copulas to define multivariate risk - neutral distributions. We can then derive general pricing formulas for multi - asset options and best possible bounds with given volatility smiles. Finally, we then apply the copula framework to define 'forward-looking' indicators of the dependence function between asset returns.

Keywords: Copulas, risk-neutral distribution, change of numéraire, option pricing, implied multivariate RND

JEL Classification: G00

Suggested Citation

Coutant, Sophie and Durrleman, Valdo and Rapuch, Grégory and Roncalli, Thierry, Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions (September 5, 2001). Available at SSRN: https://ssrn.com/abstract=1032562 or http://dx.doi.org/10.2139/ssrn.1032562

Sophie Coutant

Banque de France ( email )

31 rue Croix des Petits Champs
Paris, 75049
France
33 1 42 92 91 67 (Phone)
33 1 42 92 27 66 (Fax)

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS ( email )

Palaiseau, 91128
France

Grégory Rapuch

affiliation not provided to SSRN ( email )

No Address Available

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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