Maxime Malgrat: Pricing of a "worst of" option using a Copula method
Tid: Fr 2013-11-29 kl 10.15 - 11.00
Plats: Seminarierum 3418, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 4.
In this thesis, we use a Copula Method in order to price basket options and especially "worst of" options. The dependence structure of the underlying assets will be modelled using different families of copulas. The copulas parameters are estimated via the Maximum Likelihood Method from a sample of observed daily returns.
The Monte Carlo method will be revisited when it comes to generate underlying assets daily returns from the fitted copula.
Two baskets are priced: one composed of two correlated assets and one composed of two uncorrelated assets. The obtained prices are then compared with the price obtained using the Pricing Partners software.