Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

DOI10.1007/978-3-642-35407-6_13zbMath1273.91445OpenAlexW1496244396MaRDI QIDQ2849536

Bertrand Tavin

Publication date: 20 September 2013

Published in: Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35407-6_13

zbMATH Keywords

numerical implementationBernstein copulasmulti-asset derivatives pricing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Partial identification and inference in moment models with incomplete data ⋮ Second order risk aggregation with the Bernstein copula

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