Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
Springer-Verlag, Series Lecture Notes in Statistics, 2013
Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012, Jaworski, Piotr; Durante, Fabrizio; Härdle, Wolfgang Karl (Eds.).
Posted: 16 Nov 2012
Date Written: 2012
This paper deals with the application of Bernstein copulas to the pricing of derivatives written on several underlying assets. We review the main characteristics of this particular family of copulas. We then analyze their properties in a context of multi-asset derivatives pricing, with a focus on the approximation property. We finally give details about implementation steps and provide numerical evidences to illustrate the reviewed properties.
Keywords: Bernstein Copulas, Multi-asset Derivative Pricing, Approximation, Multivariate Distributions
JEL Classification: C63; G13
Suggested Citation: Suggested Citation