Định giá và mô phỏng quyền chọn châu Á hàng hóa trong mô hình 4 yếu tố với sự cụm nhảy

Riccardo Brignone1, Luca Gonzato2, Carlo Sgarra3
1Department of Quantitative Finance, Institute for Economic Research, University of Freiburg, Rempartstr. 16, 79098, Freiburg im Breisgau, Germany
2Department of Statistics and Operations Research, University of Vienna, Kolingasse 14-16, 1090, Vienna, Austria
3Department of Mathematics, Politecnico di Milano, Piazza Leonardo da Vinci, 32, 20133, Milan, Italy

Tóm tắt

Tóm tắtSự trở lại trung bình, độ biến động ngẫu nhiên, giá trị tiện lợi và sự hiện diện của cụm nhảy là những đặc điểm nổi bật đã được ghi nhận trong thị trường hàng hóa, nơi mà quyền chọn châu Á rất được ưa chuộng. Chúng tôi đề xuất một mô hình mà xem xét tất cả những đặc điểm mang tính chất phong cách này. Trước tiên, chúng tôi phát biểu mô hình của mình dưới thước đo lịch sử, sau đó, sau khi giới thiệu một sự thay đổi thước đo bảo tồn cấu trúc, chúng tôi cung cấp một phiên bản không có rủi ro của cùng mô hình và cho thấy cách định giá các quyền chọn châu Á hình học và số học. Để đạt được điều này, chúng tôi rút ra công thức gần đúng bán khép cho giá quyền chọn châu Á hình học và phát triển một sơ đồ mô phỏng hiệu quả về mặt tính toán cho quá trình giá, cho phép định giá các đồng nghiệp số học bằng cách sử dụng kỹ thuật biến kiểm soát. Cuối cùng, chúng tôi đề xuất một thí nghiệm kinh tế đơn giản để ghi nhận sự hiện diện của các cụm nhảy trong giá hàng hóa và đánh giá hiệu suất của sơ đồ mô phỏng được đề xuất dựa trên một số bộ tham số đã được hiệu chỉnh theo dữ liệu thực.

Từ khóa

#Quyền chọn châu Á #mô hình 4 yếu tố #giá hàng hóa #sự cụm nhảy #định giá quyền chọn

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