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DIGITAL OPTION PRICING BASED ON COPULAS WITH STOCHASTIC SIMULATION
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  • Journal title : The Pure and Applied Mathematics
  • Volume 22, Issue 3,  2015, pp.299-313
  • Publisher : Korea Society of Mathematical Education
  • DOI : 10.7468/jksmeb.2015.22.3.299
 Title & Authors
DIGITAL OPTION PRICING BASED ON COPULAS WITH STOCHASTIC SIMULATION
KIM, M.S.; KIM, SEKI;
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 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.;
 Language
English
 Cited by
 References
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