论文标题
量子选项的定价：一种经验副库方法
The Pricing of Quanto Options: An empirical copula approach
论文作者
论文摘要
量子选项是一种跨货币衍生产品，在该衍生物中，以外币给出了回报，然后通过恒定的汇率转换为家用货币，用于转换，并在合同成立时确定。因此，基本资产价格和汇率的依赖关系在量子期权定价中起着重要作用。 在这项工作中，我们建议使用经验性库拉斯来定量选择。数值插图表明，这种方法提供的灵活性是关于两个基本随机过程的依赖关系的关系，与与其他模型相比时会导致不可忽略的定价差异。
The quanto option is a cross-currency derivative in which the pay-off is given in foreign currency and then converted to domestic currency, through a constant exchange rate, used for the conversion and determined at contract inception. Hence, the dependence relation between the option underlying asset price and the exchange rate plays an important role in quanto option pricing. In this work, we suggest to use empirical copulas to price quanto options. Numerical illustrations show that the flexibility provided by this approach, concerning the dependence relation of the two underlying stochastic processes, results in non-negligible pricing differences when contrasted to other models.
