基于GARCH-NIG模型和动态Copula的双标的型期权定价(英文)  

Bivariate option pricing with GARCH-NIG model and dynamic copula

作　　者：张晶[1,2] DOMINIQUE Guegan 柴俊[4] 

机构地区：[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,法国巴黎75647 [4]华东师范大学数学系,上海200062

出　　处：《华东师范大学学报（自然科学版）》2008年第5期17-26,44,共11页Journal of East China Normal University(Natural Science)

基　　金：国家自然科学基金(10771071)

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.GARCH process was developed with the combination of dynamic copula for pricing bivariate contingent claims. In order 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.

关 键 词：最大认购期权 GARCH过程 NIG分布 COPULA 动态copula 

分 类 号：F224.7[经济管理—国民经济] F224.9