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Copula Correlations

This may not be a consequence of biased estimators or sampling error. I don't think it is a coincidence that $$\frac{6}{\pi} \arcsin\left(\frac{0.9}{2} \right) = 0.891457\ldots \approx 0.891$$ ...
• 3,365
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Copulas simply explained

I found Coping With Copulas by Thorsten Schmidt really helped me to get a more basic understanding of copulas. As well as looking at some simple examples in R and thinking about different directions ...
• 206
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How to price this basket option?

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 ...
• 14k

• 363
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Why do we not use copula for forward starting options?

One is exploring forward volatility of a price of a single asset (joint distributions from within a process), the other explores correlation of two prices at the same time for two different ...
• 5,038