华东师范大学学报(自然科学版) ›› 2008, Vol. 2008 ›› Issue (5): 17-26,4.

• 应用数学,统计学 • 上一篇    下一篇

基于GARCH-NIG模型和动态Copula的双标的型期权定价(英文)

张晶1,2,DOMINIQUE Guégan3,
柴俊4   

  1. 1.华东师范大学统计系,上海200062; 2.法国加香高等师范学校数学系,加香94230; 3.法国一大索邦经济中心,巴黎75647,法国; 4.华东师范大学数学系,上海200062
  • 收稿日期:2007-11-10 修回日期:2008-01-21 出版日期:2008-09-25 发布日期:2008-09-25
  • 通讯作者: 张晶

Bivariate option pricing with GARCH-NIG model and dynamic copula(English)

ZHANG Jing1,2,DOMINIQUE Guégan3,CHAI Jun4   

  1. 1.Department of Statistics,East China Normal University,Shanghai 200062,China;2.Department of Mathematics,Ecole Normale Supérieure de Cachan,Cachan 94230,France;3.Centre d’Economie Sorbonne,Université Paris 1,Paris 75647,France;4.Department of Mathematics, East China Normal University, Shanghai 200062,China
  • Received:2007-11-10 Revised:2008-01-21 Online:2008-09-25 Published:2008-09-25
  • Contact: ZHANG Jing

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摘要： 结合动态copula和GARCH模型,发展了双标的型未定权益的定价方法.针对诸如非对称、
尖峰态和厚尾现象等各种金融中的固有因素,采用NIG分布拟合于残差量.而标的资产之间的相关结构由动态copula来刻画.以上海证券指数和深圳证券指数为双标的资产最大认购期权为例,理论方法得到了有效的实证结果.

关键词: 最大认购期权, GARCH过程, NIG分布, copula, 动态copula, 最大认购期权, GARCH过程, NIG分布, copula, 动态copula

Abstract: GARCH process was developed with the combination of dynamic copula for pricing bivariate contingent claims.Inorder to take into account the stylized factors in finance,such as skewness,leptokurtosis and fat tails,NIG distribution was fitted for residuals.Furthermore,the dynamic copula method was applied to describe the dependence structure between the underlying assets.The approach was illustrated with call-on-max option of Shanghai and Shenzhen Stock Composite Indices.The results showed the advantage of the suggested approach.

Key words: GARCH process, NIG distribution, copula, dynamic copula, call-on-maxoption, GARCH process, NIG distribution, copula, dynamic copula

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