英文标题：
《Matching distributions: Asset pricing with density shape correction》
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作者：
Jarno Talponen
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最新提交年份：
2018
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英文摘要：
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such that the physical payoff distribution coincides with the (corrected) physical asset price distribution. It turns out that this pricing technique is economically viable under some natural cases. The fundamental properties of the pricing rule arising in this way are investigated here. This gives rise to a novel way of estimating state price density. Our approach has some tangible benefits: its principle is transparent, and it is easy to implement numerically while avoiding many issues typically involved in such an estimation. As an application, it is shown how this method can be used in performing kurtosis corrections to the standard Black-Scholes-Merton model by a mixture of several types of distributions. In fact, the technique is non-parametric in nature, and it can handle in principle any physical distribution, e.g., a multimodal one. Some other interesting applications are discussed as well.
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中文摘要：
我们研究了一种统计静态套期保值技术，用于将资产定价为单步随机现金流。估值基于以标准方式在基准证券上构建欧洲风格的衍生工具，从而使实物收益分布与（修正后的）实物资产价格分布一致。事实证明，在某些自然情况下，这种定价方法在经济上是可行的。本文研究了以这种方式产生的定价规则的基本性质。这就产生了一种估计国家价格密度的新方法。我们的方法有一些切实的好处：它的原理是透明的，易于在数字上实现，同时避免了这种估计通常涉及的许多问题。作为一个应用，本文展示了该方法如何通过几种分布的混合对标准Black-Scholes-Merton模型进行峰度校正。事实上，该技术本质上是非参数的，原则上可以处理任何物理分布，例如多模式分布。还讨论了其他一些有趣的应用。
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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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