Copula方法对多变量股指期权定价的研究.pdf

V o l 29, N o 6 FORECA ST ING 2010 6 Copula方法对多变量股指期权定价的研究 , , ( 中国科学技术大学 管理学院, 安徽 合肥 230026) : 本文给出了完全市场条件下基于 Bern stein Copu la的多变 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 : 多变 期权; Bern ste in Copu la; 相关结构; 蒙特卡罗模拟 : F 830 9 : A : 1003-5 192 ( 20 10) 06- 007 6- 05 PricingM ultivariate Stock Index Options w ith Copulas LU H ao, ZH EN Le,i HE Cheng-m i (Schoo l of M anagem en,t University of Science Technology of China, H ef ei 2 30026, China) Abstract: In th is pap er, w e introduce risk-neu tra l prices of mu ltivar iate Europ ean option s w ith the Bern ste in Copula fram ew ork in comp le te m arke ts Then w e estmi ate the m ode lw ith emp irica l da ta of Sh angh ai Shenzhen Stock M arket Com prising Indexes f iltered w ith GARCH and condu ct an emp irical stu dy to option prices of stock index es in wt o m arke ts w ith M onte Car lo smi u la tion K ey words: mu ltivar ia te option s; Be rn ste in Copula; dep endence p attern s; M on te Car lo s mi u la tion ( 1 Copula) , M onte C arlo ( M C ) , , B lack-Scholes , , Copu la , [ 9 ~ 11] ( B asket Option) , L i Bernstein Copula ( ) ,