本文應用了雙變量結構轉換連結函數於雙變量選擇權的定價，本文主要檢視Ramchand and Susmel (1998) 所提出的結構轉換條件異質自我相關與Rodriguez (2007) 所提出的結構轉換混合連結函數於雙變量選擇權的應用。應用此兩種模型的目的在於捕捉金融資產波動度的條件異質自我相關與結構相依的性質。應用連結函數的目的在於捕捉金融資產間不同程度的相關性。於數值比較上，我們將利用蒙地卡羅模擬來比較在此兩種模型設定下的雙變量選擇權價格與一般封閉解下（也就是假設金融資產報酬呈多變量常態分配下）的選擇權價格以檢視可能的定價誤差。 ; This paper develops a method for pricing bivaraite contingent claims under bivariate Switching-Regime ARCH (Autoregressive Conditional Heteroskedasticity) (BSWARCH) of Ramchand and Susmel (1998) and Switching-Regime Mixed Copulas (SWMC) of Rodriguez (2007). SWARCH models the conditional volatility of individual asset as regime-switching ARCH process, and assumes correlation coefficient between two assets is regime dependent. Similarly, SWMC models that the dependence between two assets is governed by regime-dependent mixed copulas, which can model the asymmetric tail dependence between two asset's returns. As the association between the underlying assets may change over time, and follows a regime-switching pattern with asymmetric tail dependence, efficiently capturing these two stylized facts in bivariate option pricing model would be necessary to price bivariate contingent claims accurately. Our approaches will be illustrated with better-of-two-markets options (max option) by Monte-Carlo simulations. The numerical results will be compared with the results obtained from the close-form formula, e.g.: Johnson (1987). ; 研究期間 9808 ~ 9907
