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Title: Option Pricing under Copula-Based Asymmetric Dynamic Leverage Effects
Authors: Huang, Lin-Ying;Huang, Shian-Chang
Contributors: 企業管理學系
Keywords: Dynamic dependence structure;Dynamic copula functions;Stochastic volatility;Dynamic leverage effects;Monte Carlo simulations
Date: 2010-09
Issue Date: 2013-07-11T09:04:55Z
Publisher: Taru Publications
Abstract: The paper investigates the problem of option pricing under generalized stochastic volatility models, in which a dynamic leverage effect is considered. We model the leverage effect by a asymmetric dynamic copula function, in which the Kendall’s tau is modeled in a autoregressive form to capture the persistence in dependence. By facilitating the most flexible dependence structure in this way, the option value is obtained by monte carlo simulations, and compared to results from traditional stochastic volatility models.
Relation: Journal of Information and Optimization Sciences, 31(5): 1041-1059
Appears in Collections:[Department of Business Administration] Periodical Articles

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