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

Abstract

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

Tavin, Bertrand, Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives (2012). 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.)., Available at SSRN: https://ssrn.com/abstract=2176507

Bertrand Tavin (Contact Author)

emlyon business school ( email )

23 Avenue Guy de Collongue
Ecully, 69132
France

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
341
PlumX Metrics