英文标题：
《Model Uncertainty, Recalibration, and the Emergence of Delta-Vega
Hedging》
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作者：
Sebastian Herrmann, Johannes Muhle-Karbe
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最新提交年份：
2017
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英文摘要：
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this vanilla option, delta-vega hedging is asymptotically optimal in the limit for small uncertainty aversion. The corresponding indifference price corrections are determined by the disparity between the vegas, gammas, vannas, and volgas of the non-traded and the liquidly traded options.
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中文摘要：
我们研究了Black-Scholes参考模型的不确定性期权定价和套期保值，该模型被动态地重新校准为流动交易的普通期权的市场价格。对于标的资产和普通期权的动态交易，delta vega对冲在小不确定性厌恶的限制下是渐近最优的。相应的无差异价格修正由非交易期权和流动交易期权的维加斯、伽马、瓦纳斯和沃尔加斯之间的差异确定。
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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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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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