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ZHANG Jing, DOMINIQUE Guégan, CHAI Jun. Bivariate option pricing with GARCH-NIG model and dynamic copula(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (5): 17-26,4.
Citation:
ZHANG Jing, DOMINIQUE Guégan, CHAI Jun. Bivariate option pricing with GARCH-NIG model and dynamic copula(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (5): 17-26,4.
ZHANG Jing, DOMINIQUE Guégan, CHAI Jun. Bivariate option pricing with GARCH-NIG model and dynamic copula(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (5): 17-26,4.
Citation:
ZHANG Jing, DOMINIQUE Guégan, CHAI Jun. Bivariate option pricing with GARCH-NIG model and dynamic copula(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (5): 17-26,4.
GARCH process was developed with the combination of dynamic copula for pricing bivariate contingent claims.Inorder to take into account the stylized factors in finance,such as skewness,leptokurtosis and fat tails,NIG distribution was fitted for residuals.Furthermore,the dynamic copula method was applied to describe the dependence structure between the underlying assets.The approach was illustrated with call-on-max option of Shanghai and Shenzhen Stock Composite Indices.The results showed the advantage of the suggested approach.
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