Wasserstein分布鲁棒期权定价

Wasserstein Distributionally Robust Option Pricing

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

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.