Multi-Name Assets Exchange Option Simulate Pricing Based on Pair-Copulas
Hengyu Wu · Shuxue de shijian yu renshi · 2011
Traditional multi-Copula use the one parameter to describe the dependence between the variables,which is lack of elasticity.In order to solve this problem,a algorithm of pair Copula construction was developed.Traditional multi-Copulas and Pair-Copulas were simulated respectively,to price three assets exchange option,and then we conclude that Pair-Copulas pricing is obviously different from the traditional one,the former is much better. Three stocks of Chinese Market confirm this point.