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Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

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Copulae in Mathematical and Quantitative Finance

Part of the book series: Lecture Notes in Statistics ((LNSP,volume 213))

Abstract

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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Acknowledgments

I thank two anonymous referees and an editor for their comments on an earlier version.

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Authors and Affiliations

  1. Department of Management and Business Economics, Université Paris 1 - Panthéon Sorbonne, Paris, France

    Bertrand Tavin

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  1. Bertrand Tavin
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Correspondence to Bertrand Tavin .

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Editors and Affiliations

  1. Faculty of Mathematics, Informatics, and Mechanics, University of Warsaw, ul. Banacha 2, Warszawa, 02097, Poland

    Piotr Jaworski

  2. School of Economics and Management, Free University of Bozen-Bolzano, Piazza Università 1, Bozen, 39100, Italy

    Fabrizio Durante

  3. L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ., Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

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Tavin, B. (2013). Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives. In: Jaworski, P., Durante, F., Härdle, W. (eds) Copulae in Mathematical and Quantitative Finance. Lecture Notes in Statistics(), vol 213. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35407-6_13

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