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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w6250 |
来源ID | Working Paper 6250 |
Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model | |
Dimitris Bertsimas; Leonid Kogan; Andrew W. Lo | |
发表日期 | 1997-11-01 |
出版年 | 1997 |
语种 | 英语 |
摘要 | Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic portfolio strategy involving only the underlying securities that most closely" approximates the payoff function at maturity. By applying stochastic dynamic programming to the minimization of a" mean-squared-error loss function under Markov state-dynamics, we derive recursive expressions for the optimal-replication strategy that are readily implemented in practice. The approximation error or " " of the optimal-replication strategy is also given recursively and may be used to quantify the "degree" of market incompleteness. " To investigate the practical significance of these -arbitrage strategies examples including path-dependent options and options on assets with stochastic volatility and jumps. " |
主题 | Financial Economics ; Financial Markets |
URL | https://www.nber.org/papers/w6250 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563761 |
推荐引用方式 GB/T 7714 | Dimitris Bertsimas,Leonid Kogan,Andrew W. Lo. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. 1997. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w6250.pdf(2379KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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