Multivariate Option Pricing with Pair-Copulas

Copula parameters under <svg height="10.1765pt" id="M295" style="vertical-align:-0.9337702pt" version="1.1" viewbox="-0.0498162 -9.24273 10.5029 10.1765" width="10.5029pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0136,0,0,-0.0136,0,0)"><path d="M703 -12C678 -16 653 -21 626 -21C591 -21 567 -1 542 24C650 81 715 195 715 332C715 529 588 676 385 676C179 676 45 536 45 332C45 139 185 -14 381 -14C422 -14 460 -8 494 4C525 -31 561 -65 626 -65C654 -65 681 -60 709 -56L703 -12ZM591 548C648 488 671 412 671 332C671 255 647 175 591 119V548ZM547 79C536 70 523 63 510 58C478 91 441 122 384 122C329 122 290 96 257 56C240 63 226 70 213 79V584C251 616 334 632 381 632C434 632 504 619 547 584V79ZM169 119C116 175 89 255 89 332C89 412 112 488 169 548V119ZM460 41C432 34 406 30 381 30C358 30 333 34 305 41C326 64 348 78 381 78C416 78 439 62 460 41Z" id="g197-28"></path><glyph.data ascent="693" descent="-218" horiz-adv-x="765" vert-adv-y="765"></glyph.data></g></svg>.

Journal of Probability

tab5

Table 5

Table 5: Multivariate Option Pricing with Pair-Copulas 