2 papers
q-fin.MF2021
Pricing Exchange Option Based on Copulas by MCMC Algorithm
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 alg…
q-fin.MF2021
Volatility of S&P500: Estimation and Evaluation
Wen Su
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility…