If a derivative cannot be hedged, can we still price it?

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

If yes, what does the price mean?

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Derivative cannot Price Still canno cannot price

If a derivative cannot be hedged, can we still price it?  = 如果一个（金融的）衍生品无法对冲（对赌，保赌），我们仍然可以对其定价吗？

通常 Hedge被翻译成“对冲”，中文的“对冲”概念其实有点模糊，还不如翻译成对赌或互补对赌。

For complete market, this can't happen, which means if it can be priced, we can definitely hedge it.

Actually this can happen as discussed in the incomplete market case in financial economics. In this case, fundamental assets in the market can not replicate all the possible states of the derivative's payoff. You will find that even if we impose the no-arbitrage condition, the derivative still has infinite number of prices. In this case, it is priced just by supply and demand :-)

best,

Chemist_MZ 发表于 2013-8-9 11:20
For complete market, this can't happen, which means if it can be priced, we can definitely hedge it. ...

楼上化学MZ版主， Wichita KS?

貌似天气衍生品是不可对冲的（不可以被基础的金融资产“复制”），但是依然可以被定价

99rabbit 发表于 2013-8-9 12:23
楼上化学MZ版主， Wichita KS?

NYC,ny

Derivatives are by no exception the end products of mathematical computation.

I assume by stating "a derivative cannot be hedged", you are referring to the kind of derivatives that does not "derive" its value from underlying "actual" products. Coz' in reality, any product can be hedged; you may not always find the perfect instrument to hedge it, but it can be done, in trading sense.

Regardless, we are able to construct & price any derivatives at will, since fundamentally they are nothing more than algorithms created by financial engineers; whether or not they have actual values is irrelevant at this point.

Not all derivatives use Black–Scholes model.   

wheres36 发表于 2013-8-9 21:54
Derivatives are by no exception the end products of mathematical computation.

I assume by statin ...

I like your answer, what is what I what to say. If it is called "derivative" it should be derived from some assets that can be used to hedge this derivative.

and some times we do not need to hedge with underlying. Such as volatility derivative (or if we consider the derivative under SV model), we can hedge it with other options.

and for weather derivative, it is hard to make direct hedge, but we can hedge it indirectly such as using agricultural products. But still miss some risk, so for these derivatives, the price is just rely on model, not by replication or hedging.

best,

Chemist_MZ 发表于 2013-8-9 22:21
I like your answer, what is what I what to say. If it is called "derivative" it should be derived  ...

Touché man, touché. Stuff like weather derivatives are just way to crazy, they don't even use Black–Scholes.