Méthodes numériques en finance

11 MÉTHODES DE SIMULATIONS DANS LE MODÈLE DE BLACK & SCHOLES (1973) 156
Frequency
0 200 400
Frequency
0 200 400
0.0 0.2 0.4 0.6 0.8 1.0
Distribution de U
0.0 0.2 0.4 0.6 0.8 1.0
Distribution de V
0.0 0.4 0.8
−4 −2 0 2
0.0 0.2 0.4 0.6 0.8 1.0
Uniform margins
−2 0 2 4
Standard Gaussian margins
Figure 99: Simulation of the contercomonotone copula.
Frequency
0 200 400
Frequency
0 100 300 500
0.0 0.2 0.4 0.6 0.8 1.0
Distribution de U
0.0 0.2 0.4 0.6 0.8 1.0
Distribution de V
0.0 0.4 0.8
−4 −2 0 2 4
0.0 0.2 0.4 0.6 0.8 1.0
Uniform margins
−4 −2 0 2 4
Standard Gaussian margins
Figure 100: Simulation of the Gaussian copula.
Arthur CHARPENTIER - Méthodes numériques en Finance