摘要
本文将与两种指数相关的股权挂钩票据的定价问题转化为期权定价问题,提出了一种基于Copula模型的Monte Carlo期权定价方法.针对两组对数收益率序列的相关性结构,本文运用Copula-GARCH模型进行了拟合,并采用修正的极大似然估计方法对模型的参数进行了估计.作为应用,本文对汇丰银行发行的一种股权挂钩票据进行了定价和利润分析.
This paper transfers pricing equity linked note written on two indices into investigating optionpricing problem. A Copula based Monte Carlo pricing method, which uses Copula-GARCH model to fitthe correlation structure between two groups of log return rates, and applies modified maximization byparts to estimate the parameters of Copula-GARCH model, for options is proposed. Further the pro-posed algorithm is illustrated by an application to price and analyze the profit of one of equity linkednotes issued by Hongkong and Shanghai Banking Corporation Limited.
出处
《四川大学学报（自然科学版）》
CAS
CSCD
北大核心
2015年第5期944-950,共7页
Journal of Sichuan University(Natural Science Edition)
基金
国家自然科学基金数学天元基金(10726019)
