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http://dx.doi.org/10.7468/jksmeb.2015.22.3.299

DIGITAL OPTION PRICING BASED ON COPULAS WITH STOCHASTIC SIMULATION  

KIM, M.S. (RWTH AACHEN UNIVERSITY, AACHEN)
KIM, SEKI (DEPARTMENT OF MATHEMATICS, SUNGKYUNKWAN UNIVERSITY)
Publication Information
The Pure and Applied Mathematics / v.22, no.3, 2015 , pp. 299-313 More about this Journal
Abstract
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.
Keywords
copula; digital option; rainbow option; stochastic simulation.;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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