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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2015.1
- 수록면
- 299 - 313 (15page)
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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.
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참고문헌 (9)
참고문헌 신청
Arbenz, Philipp / 2013 / Bayesian Copulae Distributions, with Application to Operational Risk Management-Some Comments / Methodology and Computing in Applied Probability 15 (
F. Black / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economics 81 : 637 ~ 654
John C. Hull / 2009 / Options, Futures, and Other Derivatives / Prentice Hall
Mario R. Melchiori / 2003 / Which Archimedean Copula is the right one? / The YieldCurve.com e-Journal
Rene M. Stulz / / Option on the Minimum or Maximum of Two Risky Assets / Journal of Financial Economics 10 : 161 ~ 185
F. Black / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economics 81 : 637 ~ 654
John C. Hull / 2009 / Options, Futures, and Other Derivatives / Prentice Hall
Mario R. Melchiori / 2003 / Which Archimedean Copula is the right one? / The YieldCurve.com e-Journal
Rene M. Stulz / / Option on the Minimum or Maximum of Two Risky Assets / Journal of Financial Economics 10 : 161 ~ 185
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