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时间:2020-04-22
《基于copula的障碍期权定价-论文.pdf》由会员上传分享,免费在线阅读,更多相关内容在应用文档-天天文库。
1、第47卷第3期南开大学学报(自然科学版)Vo1.47N932014年6月ActaScientiarumNaturaliumUniversitatisNankaiensisJun.2Ol4ArticleID:0465—7942(2014)03—0042—07PricingBarrierOptionswithCopulasSuJianyan,LiangFengzhen,LiuPengta0(1.SchoolofScience,TiainUniversity,Tianjin300072,China;2.CNOOCSafety&TechnologyServicesC0.Lf,
2、Tianjin300452,China)Abstract:Acopulafunctionpricingtechniqueisappliedtothebarrieroptions.ComparedtothestandardBlack—Scholesmodel,thecopulasenableonetoseparatethespecificationofmarginaldefaultprobabilitiesfromtheirdependencestructure.Firstofall,thebasicpropertiesofcopulaandsomepopularcop
3、ulasaregiven.Whatismore,theanalyticalpricingformulasofdigitalbarrieroptionsareprovided.It’sanalyzedthathowthetheoreticalpricereactsasafunctionoftheparametersofthecontract.Theresultsindicatetheoptionpriceandthebarrierlevelhavesomerelationship.Keywords:barrieroption;copulafunctions;digita
4、lbarrieroption;optionpricingformulasCLCnumber:O211.9Documentcode:A0Intr0ductionBarrieroptionsarecontingentclaimsinwhichtheexerciseisconditionalontheeventthatthevalueoftheunderlyingassethasbeenaboveorbelowagivenvalueoveragivenreferenceperiod.Theyareoneofthemostwidelytradedderivativesinth
5、efinancialmarkets.Onereasonthataninvestorprefersabarrieroptiontoanordinaryvanillaoptionisthatbarrieroptionsaregenerallycheaperthanstandardop—tions.Thisisbecausetheassetpricehastocrossacertainbarrierfortheoptionholdertoreceivethepayoff.Theotherreasonisthatbarrieroptionsmaymatchriskhedgin
6、gneedsmorecloselythanstan—dardoptions.Inthestandardplainvanillacases,barrieroptionsareclassifiedaccordingtowhetheranoptionisknocked——inorknocked—outifsomeupperorlowerbarrierlevelisreachedoverthewholelifeoftheoption.Wemaythenhavedown—and—out,down—and—in,up—and—in,andup—and—outoptionsboth
7、ofthecallandputtype.Therearemanymethodsforpricingbarrieroption.ThereadersarereferredtoPricingbarrierop—tionsbyaregimeswitchingmodel[.Herewewanttoshowhowtoapplythecopulafunctionpricingtechniqueforatreatmentofbarrieroptions,accountingformorecomplexcase.1MathematicalbackgroundFort
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