n Investment Analysts Journal - Pricing rainbow options : nonparametric methods using copulas

Volume 2006, Issue 64
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Extracted from text ... Pricing rainbow options: Nonparametric methods using copulas Investment Analysts Journal - No. 64 2006 35 Pricing rainbow options: Nonparametric methods using copulas 1. INTRODUCTION* The aim of this paper is to investigate the pricing of bivariate options on the Johannesburg Stock Exchange All Share Index (ALSI) and Bond Exchange of South Africa All Bond Index (ALBI). Here follow some remarks on mathematical asset pricing theory (cf. Bingham and Kiesel (2004): A probability measure _P is said to be risk-neutral if, under _P , every asset has the same expected return as the riskless bank account, i.e. if for all ..

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