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Have you look at copula package! Maybe you could get ideias from it


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".


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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