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- W2078408897 abstract "In this paper, we apply a copula function pricing technique to the evaluation of credit derivatives, namely a vulnerable default put option and a credit switch. Also in this case, copulas enable one to separate the specification of marginal default probabilities from their dependence structure. Their use is based here on no–arbitrage arguments, which provide pricing bounds and easy–to–implement super–replication strategies. At a second stage, we specify the copula function to be a mixture one. In this case, we obtain closed form prices and hedges, which we calibrate on real market data. For the sake of comparison, we add a Clayton calibration. (J.E.L: G11, G12)." @default.
- W2078408897 created "2016-06-24" @default.
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- W2078408897 date "2003-07-01" @default.
- W2078408897 modified "2023-09-26" @default.
- W2078408897 title "Pricing and Hedging Credit Derivatives with Copulas" @default.
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- W2078408897 doi "https://doi.org/10.1111/1468-0300.00112" @default.
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