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。
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.
出处
《预测》
CSSCI
北大核心
2010年第6期76-80,共5页
Forecasting
