Northwestern University

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Filtering by: Creator Jesse De Lille Resource type Dissertation

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Pricing Bounds for Bivariate Options with Super- and Submodular Payoff Function

Description:

We first introduce the concept of copulas and advocate its use for multivariate option pricing. We focus on four types of bivariate options: basket, rainbow-max, rainbow-min, and spread options. We derive expressions for these options as a function of the copula. We then construct pricing bounds for these bivariate options...

Keyword:

Economics and Finance

Subject:

Economics

Creator:

Jesse De Lille

Owner:

Scholarly Digital Publishing

Date Uploaded:

09/20/2018

Date Modified:

09/20/2018

Date Created:

2008-11-26

Resource Type:

Dissertation