衍生品定价:模型风险及其影响
发布时间：2018-07-17 17:29
【摘要】：本文通过模拟衍生品空头的对冲盈亏来研究模型风险以及它给衍生品定价和复制带来的影响。本文检验了在参数复制和传统的Delta复制两种复制策略下,其复制误差与模型选择、真实测度的漂移项和真实状态变量等的关系。本文还详细讨论了参数复制策略和Delta复制策略的优劣,以及模型风险对这两种复制策略的影响。
[Abstract]:This paper studies the model risk and its influence on the pricing and replication of derivatives by simulating the hedging of derivatives short. In this paper, we examine the relationship between replication error and model selection, drift term of real measure and real state variables under two replication strategies: parametric replication and traditional Delta replication. This paper also discusses the advantages and disadvantages of parametric replication strategy and Delta replication strategy, and the influence of model risk on these two replication strategies.
【作者单位】： 厦门大学;
【基金】：国家自然科学基金面上项目(项目号:70971114) 教育部“国际金融危机应对研究”应急项目(项目号:2009JYJR051) 福建省自然科学基金的支持(项目号2009J01316)的资助
【分类号】：F830.91
[Abstract]:This paper studies the model risk and its influence on the pricing and replication of derivatives by simulating the hedging of derivatives short. In this paper, we examine the relationship between replication error and model selection, drift term of real measure and real state variables under two replication strategies: parametric replication and traditional Delta replication. This paper also discusses the advantages and disadvantages of parametric replication strategy and Delta replication strategy, and the influence of model risk on these two replication strategies.
【作者单位】： 厦门大学;
【基金】：国家自然科学基金面上项目(项目号:70971114) 教育部“国际金融危机应对研究”应急项目(项目号:2009JYJR051) 福建省自然科学基金的支持(项目号2009J01316)的资助
【分类号】：F830.91
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