英文标题：
《Pricing and Hedging Derivative Securities with Unknown Local
Volatilities》
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作者：
Kerry W. Fendick
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最新提交年份：
2013
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英文摘要：
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the price dynamics of the underlying security over short time scales. Here we assume that traders have an objective knowledge about the underlying security\'s price trajectories only for large time scales. We show that avoidance of arbitrage that is still feasible uniquely determines the prices of options with large expiration times, and we derive limit theorems useful for estimation of model parameters and present-value analysis of derivative portfolios.
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中文摘要：
金融工程中的一个常见假设是，任何衍生工具的市场价格都与客观定义的风险中性价格一致——只有当交易者在短时间内集体掌握有关基础证券价格动态的客观知识时，这一假设才是合理的。在这里，我们假设交易者只对大时间尺度的基础证券的价格轨迹有一个客观的了解。我们证明了仍然可行的避免套利唯一地决定了到期时间较长的期权的价格，并且我们推导了对模型参数估计和衍生品投资组合现值分析有用的极限定理。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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