Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives | Tavin, Bertrand (1983-....)
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Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

in Copulae in Mathematical and Quantitative Finance: Proceedings of the Workshop Held in Cracow, 10-11 July 2012

Tavin, Bertrand (1983-....)

Jaworski, Piotr. Directeur de publication ; Durante, Fabrizio. Directeur de publication ; Hardle, Wolfgang Karl. Directeur de publication

Springer 2013 - 277-288 P.

This paper deals with the application of Bernstein copulas to the pricing of derivatives written on several underlying assets. We review the main characteristics of this particular family of copulas. We then analyze their properties in a context of multi-asset derivatives pricing, with a focus on the approximation property. We finally give details about implementation steps and provide numerical evidences to illustrate the reviewed properties.


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