英文标题：
《Characterization of Market Models in the Presence of Traded Vanilla and
Barrier Options》
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作者：
Peter Spoida
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最新提交年份：
2014
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英文摘要：
We characterize the set of market models when there are a finite number of traded Vanilla and Barrier options with maturity $T$ written on the asset $S$. From a probabilistic perspective, our result describes the set of joint distributions for $(S_T, \\sup_{u \\leq T} S_u)$ when a finite number of marginal law constraints on both $S_T$ and $\\sup_{u \\leq T} S_u$ is imposed. An extension to the case of multiple maturities is obtained. Our characterization requires a decomposition of the call price function and once it is obtained, we can explicitly express certain joint probabilities in this model. In order to obtain a fully specified joint distribution we discuss interpolation methods.
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中文摘要：
我们描述了当有限数量的交易香草期权和障碍期权到期日为$T$时，市场模型的特征。从概率的角度，我们的结果描述了当对$S_T$和$\\sup_{u\\leq T}S_$施加有限数量的边际定律约束时，$（S_T，\\sup_qt}S_）$的联合分布集。对多个到期日的情况进行了扩展。我们的描述需要对看涨期权价格函数进行分解，一旦得到，我们就可以在这个模型中显式地表达某些联合概率。为了得到完全指定的联合分布，我们讨论了插值方法。
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分类信息：

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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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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