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基于Copula-GARCH-MMBP的MonteCarlo期权定价方法（英文）.docx

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基于Copula-GARCH-MMBP的MonteCarlo期权定价方法（英文） Introduction Copula-GARCH-MMBPisapopulartoolusedinfinancialriskmanagement.Itisusedtomodeldependencystructuresandvolatilityoffinancialassets.Thismethodcanbeusedtoestimatethevalueoffinancialinstrumentssuchasoptions.Inthispaper,wewilldiscusstheMonteCarlooptionpricingmethodbasedonCopula-GARCH-MMBP. Background Optionpricingmethodsarevitalinriskmanagementandfinancialanalysis.TheBlack-Scholesmodelisthemostpopularoptionpricingmethodinusetoday.However,thismethodhassomelimitations.Oneofthelimitationsisthatitassumesthattheunderlyingasset’svolatilityisconstant.Inreality,financialassets’volatilityvariesovertime,indicatingthattheBlack-Scholesmodelisnotaccurateinpricingoptionsinthiscircumstance. TheCopula-GARCH-MMBPmethodisusedtoaddressthislimitation.Thismethodconsidersthecorrelationbetweentheunderlyingasset’sreturnsandthevolatilityoftheasset.TheCopula-GARCH-MMBPmethodisahybridmodelthatcombinesseveralmodels,includingCopula,GARCH,andMMBP,toestimatethevalueofoptions.Thismethodismoreaccuratethantraditionalmethodsinpricingoptionsasitaccountsforvolatilityclusteringanddependenceontheunderlyingasset. Methodology TheMonteCarlomethodisastatisticalsimulationmethodusedinoptionpricing.Thismethodinvolvessimulatingtheunderlyingasset’sprice,calculatingthepayoffatmaturity,anddiscountingthepayofftoobtaintheoptionvalue.TheMonteCarlomethodisusedintheCopula-GARCH-MMBPframeworkbysimulatingtheunderlyingassetpricesbasedonGARCHmodels.Thesimulationstakeintoaccountthevolatilityandcorrelationstructureoftheasset. TheCopulafunctionisusedintheCopula-GARCH-MMBPmethodtoestimatethedependencestructurebetweentheunderlyingassets.TheCopulafunctionisapowerfultoolusedtomodelthedependencestructureofmultivariatedistributions.TheCopulafunctionseparatesthemarginaldistributionsoftheindividualassetsfromthejointdistribution. TheGARCHmodelisusedtoestimatethevolatilityoftheunderlyingasset.TheGARCHmodelisusedtoaccountforthevolatilityclusteringoffinancialassets.Thismeansthatfinancialassets