In this thesis, we use a Copula Method in order to price basket options and especially “worst of” options. The dependence structure of the underlying assets will be modeled using different families of copulas. The copulas parameters are estimated via the Maximum Likelihood Method from a sample of observed daily returns. The Monte Carlo method will be revisited when it comes to generate underlying assets daily returns from the fitted copula. Two baskets are priced: one composed of two correlated assets and one composed of two uncorrelated assets. The obtained prices are then compared with the price obtained using the Pricing Partners software
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-132194 |
| Date | January 2013 |
| Creators | Malgrat, Maxime |
| Publisher | KTH, Matematisk statistik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Trita-MAT-E ; 2013:52 |
Page generated in 0.002 seconds