摘要翻译:
研究了(不连续的)Ito半鞅的光滑函数和非光滑函数的条件期望的短时渐近性;我们根据半鞅的局部特征计算了渐近项中的先导项。在半区间模型中,我们得到了短到期日看涨期权的渐近性态:在半区间模型中,我们发现了短到期日看涨期权的渐近性态是线性的,而短到期日看涨期权的渐近性态则依赖于半区间模型的精细结构,而短到期日看涨期权的渐近性态则依赖于半区间模型的精细结构,因此,在半区间模型中,我们得到了短到期日看涨期权的渐近性态的渐近性态的渐近性态的渐近性态的渐近性态的渐近性态的渐近性态的渐近性态的渐近性态的渐近性态。
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英文标题:
《Short-time asymptotics for marginal distributions of semimartingales》
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作者:
Amel Bentata, Rama Cont
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最新提交年份:
2012
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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: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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英文摘要:
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with short maturity in a semimartingale model: whereas the behavior of \textit{out-of-the-money} options is found to be linear in time, the short time asymptotics of \textit{at-the-money} options is shown to depend on the fine structure of the semimartingale.
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PDF链接:
https://arxiv.org/pdf/1202.1302