基于Copula的极值重置期权定价

Copula-based pricingof extremum reset options

目的在风险中性条件下构建极值重置期权定价模型。方法根据期权价格为收益期望的贴现,运用Copula函数构造风险中性条件下的极值重置期权定价模型,选取2支标的资产的价格数据进行实证分析,运用平方欧氏距离标准判别最佳的定价模型。结果与结论 Gumbel Copula为最佳定价模型。相比较于传统的Black-Scholes模型,基于Copula的极值重置期权定价模型具有简洁清晰、易理解的特点。

Purposes-To construct the pricing models of extremum reset options under risk-neutral conditions.Methods-According to the fact that option price is the discount of the expected return,the Copula function is used to construct the pricing models of extremum reset options under risk-neutral conditions.The price data of two underlying assets is selected for empirical analysis.Finally,squared Euclidean distance standard is employed to discriminate the best pricing model.Result and Conclusion-Gumbel Copula is the best pricing model.Compared with the traditional Black-Scholes model,Copula-based pricing model of extremum reset options is simple,clear and easy to understand.