基于copula的障碍期权定价-论文.pdf

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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