G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w6250
来源IDWorking 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
URLhttps://www.nber.org/papers/w6250
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/563761
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GB/T 7714
Dimitris Bertsimas,Leonid Kogan,Andrew W. Lo. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. 1997.
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