Pricing Exchange Option Based on Copulas by MCMC Algorithm

21 Jul 2021  ·  Wen Su ·

This paper focus on pricing exchange option based on copulas by MCMC algorithm. Initially, we introduce the methodologies concerned about risk-netural pricing, copulas and MCMC algorithm. After the basic knowledge, we compare the option prices given by different models, the results show except Gumbel copula, the other model provide similar estimation.

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