刘炜,杨莉,于波.Wasserstein分布鲁棒期权定价[J].数学研究及应用,2021,41(1):99~110 |
Wasserstein分布鲁棒期权定价 |
Wasserstein Distributionally Robust Option Pricing |
投稿时间:2020-01-20 修订日期:2020-10-24 |
DOI:10.3770/j.issn:2095-2651.2021.01.010 |
中文关键词: 期权定价 Wasserstein距离 分布鲁棒优化 |
英文关键词:option pricing Wasserstein distance distributionally robust optimization |
基金项目:国家自然科学基金(Grant Nos.11571061; 11401075; 11971092), 中央高校基本科研专项资金(Grant No.DUT17RC(4)38). |
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中文摘要: |
本文针对期权定价问题,提出Wasserstein分布鲁棒期权定价模型,即最小化标的资产收益最坏分布下的期权复制误差. 该DRO模型的DUS是以标的资产累积收益的经验分布为中心的Wasserstein球.我们证明相应的DRO问题可转化为可计算的凸优化问题.初步实验结果表明所提模型具有良好表现. |
英文摘要: |
In this paper, the option pricing problem is formulated as a distributionally robust optimization problem, which seeks to minimize the worst case replication error for a given distributional uncertainty set (DUS) of the random underlying asset returns. The DUS is defined as a Wasserstein ball centred the empirical distribution of the underlying asset returns. It is proved that the proposed model can be reformulated as a computational tractable linear programming problem. Finally, the results of the empirical tests are presented to show the significance of the proposed approach. |
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