摘要
用copula函数来定价障碍期权,与标准的Black-Scholes模型相比,copula可以使随机变量的边际分布和相关结构分开处理.首先给出coupla函数的基本性质和一些常用的copula函数.然后给出了数字障碍期权的定价公式,并分析了参数对期权价格的影响.实证结果表明,期权价格与障碍水平有一定关系.
A copula function pricing technique is applied to the barrier options. Compared to the standard Black-Scholes model, the copulas enable one to separate the specification of marginal default probabilities from their dependence structure. First of all, the basic properties of copula and some popular copulas are given. What is more, the analytical pricing formulas of digital barrier options are provided. It＇s analyzed that how the theoretical price reacts as a function of the parameters of the contract. The results indicate the option price and the barrier level have some relationship.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2014年第3期42-48,共7页
Acta Scientiarum Naturalium Universitatis Nankaiensis
