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  • 한국과학기술정보연구원(KISTI) 서울분원 대회의실(별관 3층)
  • 2024년 07월 03일(수) 13:30
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  • P-ISSN1226-0657
  • E-ISSN2287-6081
  • KCI

ISSN : 1226-0657

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Vol.22 No.3

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DIGITAL OPTION PRICING BASED ON COPULAS WITH STOCHASTIC SIMULATION

Digital Option Pricing based on Copulas with Stochastic Simulation

한국수학교육학회지시리즈B:순수및응용수학 / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2015, v.22 no.3, pp.299-313
https://doi.org/10.7468/jksmeb.2015.22.3.299
KIM, M.S. (RWTH AACHEN UNIVERSITY, AACHEN)
KIM, SEKI (DEPARTMENT OF MATHEMATICS, SUNGKYUNKWAN UNIVERSITY)
KIM, M.S., & KIM, SEKI. (2015). DIGITAL OPTION PRICING BASED ON COPULAS WITH STOCHASTIC SIMULATION. 한국수학교육학회지시리즈B:순수및응용수학, 22(3), 299-313, https://doi.org/10.7468/jksmeb.2015.22.3.299

Abstract

In this paper, we show the effectiveness of copulas by comparing the correlation of market data of year 2010 with those of years 2006-2009 and investigate copula functions as pricing methods of digital and rainbow options through real market data. We propose an accurate method of pricing rainbow options by using the correlation coefficients obtained from the copula functions depending on strike prices between assetes instead of simple traditional correlation coefficients.

keywords
copula, digital option, rainbow option, stochastic simulation.

참고문헌

1.

Stulz, Rene M.;. (0000). Option on the Minimum or Maximum of Two Risky Assets. Journal of Financial Economics, 10, 161-185. 10.1016/0304-405X(82)90011-3.

2.

Black, F.;Scholes, M.;. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economics, 81, 637-654. 10.1086/260062.

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Cherubini, U.;Luciano, E.;Vecchiato, W.;. Copula Methods in Finance.

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Hull, John C.;. Options, Futures, and Other Derivatives.

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Melchiori, Mario R.;. (2003). Which Archimedean Copula is the right one?. The YieldCurve.com e-Journal, .

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Naimy, Viviane Y.;. (2012). Gaussian Copula vs Loans Loss Assessment: A Simplified and EasyTo-Use Model. Journal of Business Case Studies, 8, 533-542.

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Nelsen, Roger B.;. An Introduction to Copulas.

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Philipp, Arbenz;. (2013). Bayesian Copulae Distributions, with Application to Operational Risk Management-Some Comments. Methodology and Computing in Applied Probability, 15(1), 105-108. 10.1007/s11009-011-9224-0.

9.

Pu, Yuqi;Kim, Seki;. (2014). Pricing Forward-Future Spread based on Copulas with Stochastic Simulation. The Pure and Applied Mathematics, 21, 77-93. 10.7468/jksmeb.2014.21.1.77.

한국수학교육학회지시리즈B:순수및응용수학

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