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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!

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

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You are in luck, as these days there are many exchange-traded funds that track indexes. An option on one of these is therefore equivalent (for Lévy copula purposes at least) to an option on a weighted index of stocks.

So, for example, you can look at options on SPY as options on a weighted sum of 500 different US stocks. These are very liquid so you will get good prices at a wide range of strikes. To get them from Bloomberg start by querying SPY US EQUITY for its options CHAIN_TICKERS.

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