| Copula方法对多变量股指期权定价的研究 |
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| 引用本文： | 卢浩,镇磊,何成弥.Copula方法对多变量股指期权定价的研究[J].预测,2010,29(6). |
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| 作者姓名： | 卢浩 镇磊 何成弥 |
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| 作者单位： | 中国科学技术大学管理学院; |
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| 摘 要： | 本文给出了完全市场条件下基于Bernstein Copula的多变量欧式期权的风险中性价格.然后将GARCH处理后的沪深两市股指作为数据代入模型进行估计,并采用蒙特卡罗模拟方法对沪深两市股指期权进行实证研究.
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| 关 键 词： | 多变量期权 Bernstein Copula 相关结构 蒙特卡罗模拟 |
Pricing Multivariate Stock Index Options with Copulas |
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| LU Hao,ZHEN Lei,HE Cheng-mi.Pricing Multivariate Stock Index Options with Copulas[J].Forecasting,2010,29(6). |
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| Authors: | LU Hao ZHEN Lei HE Cheng-mi |
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| Institution: | LU Hao,ZHEN Lei,HE Cheng-mi(School of Management,University of Science & Technology of China,Hefei 230026,China) |
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| Abstract: | In this paper,we introduce risk-neutral prices of multivariate European options with the Bernstein Copula framework in complete markets.Then we estimate the model with empirical data of Shanghai & Shenzhen Stock Market Comprising Indexes filtered with GARCH and conduct an empirical study to option prices of stock indexes in two markets with Monte Carlo simulation. |
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| Keywords: | multivariate options Bernstein Copula dependence patterns Monte Carlo simulation |
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