COPULA APPLICATION FOR DERIVATIVE SECURITIES ON VIETNAM STOCK MARKET
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Abstract
This paper examines the application of copula for futures contracts of derivatives securities on Vietnam stock market. It is suggested that the current ceiling base asset price is expected to cover the actual base asset price in the future in order to facilitate the selling position that can sell the current base asset price at a high level, and the buying position also knows the expected future yield compared to the current base asset price.
Keywords
copula, derivative securities, R
Article Details
References
Nelsen, R. B. (2006). An Introduction to Copulas (2th Ed.). Springer-Verlag.
Le Van Tuan (13/10/2014). Discover the excitement of copula with the R-copula package on the Vietnamese stock market [Kham pha su thu vi cua copula voi goi lenh R-copula trên TTCK Việt Nam]. Retrieved from https://tuanvanle.wordpress.com/2014/10/13/kham-pha-su-thu-vi-cua-copula-voi-goi-lenh-r-copula-tren-ttck-viet-nam
Yan, J (2007). Enjoy the Joy of Copulas: With a Package copula. Journal of Statistical Software, 21(4), 1-21. Doi: 10.18637/jss.v021.i04
Vndirect (10/10/2019). Basic derivative securities knowledge [Kien thuc co ban ve chung khoan phai sinh]. Retrieved from https://www.vndirect.com.vn/kien-thuc-co-ban-ve-chung-khoan-phai-sinh/
Le Van Tuan (13/10/2014). Discover the excitement of copula with the R-copula package on the Vietnamese stock market [Kham pha su thu vi cua copula voi goi lenh R-copula trên TTCK Việt Nam]. Retrieved from https://tuanvanle.wordpress.com/2014/10/13/kham-pha-su-thu-vi-cua-copula-voi-goi-lenh-r-copula-tren-ttck-viet-nam
Yan, J (2007). Enjoy the Joy of Copulas: With a Package copula. Journal of Statistical Software, 21(4), 1-21. Doi: 10.18637/jss.v021.i04
Vndirect (10/10/2019). Basic derivative securities knowledge [Kien thuc co ban ve chung khoan phai sinh]. Retrieved from https://www.vndirect.com.vn/kien-thuc-co-ban-ve-chung-khoan-phai-sinh/