Digital option pricing based on copulas with stochastic simulation

DOI10.7468/JKSMEB.2015.22.3.299MaRDI QIDQ2791956zbMATH OpenOpenAlexFDO

Authors M. S. Kim, Seki Kim

Publication date 16 March 2016

Published in Journal of the Korean Society of Mathematical Education. Series B. The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7468/jksmeb.2015.22.3.299

zbMATH Keywords

copuladigital optionrainbow optionstochastic simulation

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A note on adjusting correlation matrices
• scientific article; zbMATH DE number 5080942
• Copula-GARCH-MMBP based Monte Carlo option pricing method
• Bivariate option pricing using dynamic copula models
• Option pricing when correlations are stochastic: an analytical framework

Cited in

(4)

• Multi-name assets exchange option pricing simulation based on pair-copulas
• Copula-GARCH-MMBP based Monte Carlo option pricing method
• A note on adjusting correlation matrices
• Pricing rainbow options based on the fuzzy pattern of Stulz formula

This page was built for publication: Digital option pricing based on copulas with stochastic simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2791956)