1
$\begingroup$

I am working on Lévy copulas, and I would like to try calibrating such techniques on real data. Where can I find quotes for multi-asset options? It could be exchange options or any other type of options, as long as it involves at least two assets. I have access to multiple universities libraries, and could access to a Bloomberg terminal if needed (I come from the theoritical side and am not used to handle real data).

Thanks!

|improve this question
$\endgroup$
  • $\begingroup$ Next time, ask fewer more targeted(specific) questions. $\endgroup$ – Ted Taylor of Life May 3 '19 at 14:59
0
$\begingroup$

I highly recommend you check out this paper.

Dynamic copulas: applications to financeeconomics

In this paper they give examples that may be useful to you.

Specifically, the data that was looked at "CDOs (e.g. iTraxx and CDX)"

From page 5 of the paper daily variation of ABX index

|improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.