英文标题：
《Robust replication of barrier-style claims on price and volatility》
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作者：
Peter Carr, Roger Lee, Matthew Lorig
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最新提交年份：
2017
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英文摘要：
We show how to price and replicate a variety of barrier-style claims written on the $\\log$ price $X$ and quadratic variation $\\langle X \\rangle$ of a risky asset. Our framework assumes no arbitrage, frictionless markets and zero interest rates. We model the risky asset as a strictly positive continuous semimartingale with an independent volatility process. The volatility process may exhibit jumps and may be non-Markovian. As hedging instruments, we use only the underlying risky asset, zero-coupon bonds, and European calls and puts with the same maturity as the barrier-style claim. We consider knock-in, knock-out and rebate claims in single and double barrier varieties.
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中文摘要：
我们展示了如何对风险资产的$\\log$price$X$和二次变化$\\langle X\\rangle$上写的各种屏障式索赔进行定价和复制。我们的框架假设无套利、无摩擦市场和零利率。我们将风险资产建模为具有独立波动过程的严格正连续半鞅。波动过程可能会出现跳跃，并且可能是非马尔可夫过程。作为对冲工具，我们只使用基础风险资产、零息债券以及与屏障式债权期限相同的欧洲看涨期权和看跌期权。我们考虑单屏障和双屏障类型的敲入、敲出和回扣索赔。
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分类信息：

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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