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向圣鹏,杨湘豫 (湖南大学 数学与计量经济学院湖南 长沙410079) 
中文关键词:复合期权  风险中性评价方法  Copula模型  边缘分布函数  Bayes时序诊断法  Z检验
Application of Copula Theory in Option Pricing
Abstract:In order to calculate the value of compound option by risk neutral valuation approach, we divided it into three parts. To prove the second part, we selected the bivariate normal Copula model with GARCH model as the appropriate marginal distribution functions to gain the joint distribution function, and the calculation shows that they have the same result. Furthermore, the value of time dependent compound option was calculated, and the method to diagnose the local inflecting point by taking Bayes timing diagnostics and Z test was given when the price appeared large fluctuations in the option pricing.
keywords:compound option  risk neutral valuation approach  Copula model  marginal distribution function  Bayes timing diagnostics  Z test
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