Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach

DOI10.1214/19-BJPS445MaRDI QIDQ2330490zbMATH OpenOpenAlexFDO

Authors Lucas Pereira Lopes, Vicente G. Cancho, Francisco Louzada

Publication date 22 October 2019

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1566806434

zbMATH Keywords

Bayesian inferencecopulaheteroscedasticoption pricing

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A general version of the fundamental theorem of asset pricing
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• A note on adjusting correlation matrices
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• Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution
• Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t-distribution
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Bayesian Measures of Model Complexity and Fit
• Bayesian nonparametric modelling of the return distribution with stochastic volatility
• Fitting bivariate cumulative returns with copulas
• Fitting bivariate loss distributions with copulas
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• On the copula for multivariate extreme value distributions
• Option Pricing With V. G. Martingale Components¹
• Pricing bivariate option under GARCH processes with time-varying copula
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities
• Time-varying joint distribution through copulas

Cited in

(9)

• A model-free approach to multivariate option pricing
• The numerical simulation of Quanto option prices using Bayesian statistical methods
• Pricing multivariate European equity option using Gaussians mixture distributions and EVT-based copulas
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Bivariate option pricing using dynamic copula models
• scientific article; zbMATH DE number 5631233 (Why is no real title available?)
• GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation
• Estimating option implied risk‐neutral densities using spline and hypergeometric functions
• Pricing bivariate option under GARCH processes with time-varying copula

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