摘要翻译:
利用Dirichlet形式方法,研究了参数不确定性对随机扩散模型的影响,特别是对未定权益定价的影响。我们将Bouleau开发的最新技术应用于套期保值过程,以计算SDE轨迹对参数扰动的敏感性。我们证明了该模型可以再现一个买卖价差。我们还证明了,如果随机微分方程具有闭式表示,则灵敏度也具有闭式表示。我们给出了对数正态扩散的情形,我们证明了这个框架预见了一个微笑的隐含波动率面与历史数据相一致。
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英文标题:
《The impact of uncertainties on the pricing of contingent claims》
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作者:
Simone Scotti
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最新提交年份:
2010
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分类信息:
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 effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techniques, developed by Bouleau, to hedging procedures in order to compute the sensitivities of SDE trajectories with respect to parameter perturbations. We show that this model can reproduce a bid-ask spread. We also prove that, if the stochastic differential equation admits a closed form representation, also the sensitivities have closed form representations. We exhibit the case of log-normal diffusion and we show that this framework foresees a smiled implied volatility surface coherent with historical data.
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PDF链接:
https://arxiv.org/pdf/1001.5202