英文标题：
《Model-Free Discretisation-Invariant Swap Contracts》
---
作者：
Carol Alexander and Johannes Rauch
---
最新提交年份：
2016
---
英文摘要：
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property\' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-offs based on martingale and log-martingale processes alone form a vector space. Hence there exist an infinite variety of other variance and higher-moment risk premia that are less prone to bias than standard variance swaps because their option replication portfolios have no discrete-monitoring or jump errors. Their fair values are also independent of the monitoring partition. A sub-class consists of pay-offs with fair values that are further free from numerical integration errors over option strikes. Here exact pricing and hedging is possible via dynamic trading strategies on a few vanilla puts and calls. An S&P 500 empirical study on higher-moment and other DI swaps concludes.
---
中文摘要：
离散不变交换的实际回报是满足Neuberger[2012]关于多元鞅的两次连续可微确定性函数的受限“聚合性质”的交换。它们最初被描述为一个二阶偏微分方程组的解，然后这些基于鞅和对数鞅过程的解形成一个向量空间。因此，存在各种各样的其他方差和更高的时刻风险溢价，它们比标准方差互换更不容易出现偏差，因为它们的期权复制投资组合没有离散的监控或跳跃误差。其公允价值也独立于监控分区。子类由公允价值的支付组成，这些公允价值在期权行使期间不存在数值积分误差。在这里，通过几个普通看跌期权和看涨期权的动态交易策略，可以实现精确的定价和套期保值。标准普尔500指数（S&P500）对更高时刻和其他直接投资掉期的实证研究得出结论。
---
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
--

---
PDF下载：
-->