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0

Have you look at copula package! Maybe you could get ideias from it https://www.jstatsoft.org/article/view/v021i04/v21i04.pdf http://finzi.psych.upenn.edu/R/library/copula/html/copula-package.html


1

You can have a look at Andrew Patton's "Copula toolbox for Matlab". It contains his code for the "Time-varying Symmetrised Joe-Clayton copula".


5

No offense but it will be much more complicated than what you think... I'm not even sure that you are familiar with risk-neutral pricing in the first place? I'll try to give you some clues. This security is called a basket option. On top of the multi-asset feature, there are non-trivial mechanisms embedded in the contract you mention: an auto-callable ...



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