COPULA APPLICATION FOR DERIVATIVE SECURITIES ON VIETNAM STOCK MARKET

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.