# Questions tagged [copula]

A copula is a multivariate distribution with uniform marginal distributions. Copulas are mostly used to represent/model the structure of dependence between random variables, separately from the margins.

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### How to price this basket option?

Underlying assets are three global stock index : Eurostoxx 50, HSI, KOSPI 200 Maturity: 36 months with advanced redemption date in every 6 months if prices of indexes satisfy given conditions at each ...
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### Copula models and the distribution of the sum of random variables without Monte Carlo

There is a vast literature on copula modelling. Using copulas I can describe the joint law of two (and more) random variables $X$ and $Y$, i.e. $F_{X,Y}(x,y)$. Very often in risk management (credit ...
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### Difference between Local Vol and Copula

Let's assume we have ATM European call on a basket of two stocks and price it with: 1) Multivariate Local Vol with constant correlation 2) Gaussian copula Assuming we use the same correlation ...
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### Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?

I need to estimate the daily VaR of a portfolio of various exposures in $n$ risky assets (say equity futures). The simplest approach, I think, would be to just estimate VaR from a multivariate normal ...
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### Practical Use of Copulas and Sample Generation

I'm currently studying Copulas. However, i did not understand something. The very basic phases of Copula fitting is as follows i assume; Model each samples distribution with a parametric(or non-...
### Copula analytic formula for $max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}}$
Consider the payoff function $$V_T = max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}} = (S_T^1 - K)1_{\{S_T^1 > K\}}1_{\{L<S_T^2<U\}}$$ where $S_T^1$ and $S_T^2$ are two GBM distributed stocks with ...