Copula理论在复合期权定价中的应用
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引用本文:向圣鹏,杨湘豫.Copula理论在复合期权定价中的应用[J].经济数学,2013,(3):87-90
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作者单位
向圣鹏,杨湘豫 (湖南大学 数学与计量经济学院湖南 长沙410079) 
中文摘要:本文使用风险中性评价方法分三部分计算了复合期权的价值,针对需要计算联合分布的第二部分,通过选取边缘分布为GARCH模型的二元正态Copula模型进行推理验证,结果求得的联合分布与使用风险中性评价方法的计算结果一致.进一步计算得到了时间相依的复合期权的价值,并且给出了使用Bayes时序诊断法和Z检验来诊断期权定价时其出现价格大的波动时的局部拐点的方法.
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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