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Semiparametric Pricing of Multivariate Contingent Claims

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  • Joshua Rosenberg

Abstract

This paper develops and implements a methodology for pricing multivariate contingent claims (MVCC's) based on semiparametric estimation of the multivariate risk-neutral density function. This methodology generates MVCC prices which are consistent with current market prices of univariate contingent claims.

Suggested Citation

  • Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
    • Handle: RePEc:fth:nystfi:99-028
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    File URL: http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99028.pdf
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    Cited by:

    1. Andrew Patton, 2002. "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers dp431, Financial Markets Group.
    2. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    3. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," PSE-Ecole d'économie de Paris (Postprint) halshs-00286054, HAL.
    4. van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M., 2003. "Multivariate Option Pricing Using Dynamic Copula Models," Discussion Paper 2003-122, Tilburg University, Center for Economic Research.
    5. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August.
    6. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    7. Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
    8. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
    9. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    10. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
    11. van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M., 2003. "Multivariate Option Pricing Using Dynamic Copula Models," Other publications TiSEM 86ec50af-0fb6-4782-b2dd-d, Tilburg University, School of Economics and Management.
    12. Zhang, J. & Guégan, D., 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1095-1103, June.
    13. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Post-Print halshs-00286054, HAL.
    14. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
    15. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research.
    16. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Post-Print halshs-00368336, HAL.
    17. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 69-85.
    18. Hassane Abba Mallam & Diakarya Barro & Yameogo WendKouni & Bisso Saley, 2021. "Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas," Papers 2105.10599, arXiv.org.
    19. Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Post-Print halshs-00188248, HAL.
    20. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department.
    21. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Post-Print halshs-00259242, HAL.
    22. Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.

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