The pricing model of two color rainbow options-Copula Model

• Main Authors: Hsien-Chao Chiu, 邱顯照
• Other Authors: 黃文光
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/97244573916504822279

碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === After Black-Scholes advert to the option pricing theory, it has a great contribution to the advance of option；speed up all kinds of Exotic Options, one of it is Rainbow Options. Rainbow Options are their underlying assets which are not only one stock, but it may include two stocks or three stocks even more. Our studies introduce the two color rainbow option of its pricing model, to compare the difference with Bivariate garch model and Copula model. Our study use Monte Carlo Simulation to simulate underlying assets. We discover that if we assume the relationship of two underlying to yield to normal distribution or T distribution it results are worse than Copula. Specifically dynamic Copula are the best.