Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast
Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast
复制标题
通过随机优化对不完全市场进行期权定价：交易成本、自适应控制和预测
DOI：
10.1142/s0219024901000912
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发表时间：
2001
影响因子：
0.5
通讯作者：
S. Mikhailov
中科院分区：
文献类型：
--
作者：
S. Fedotov;S. Mikhailov
在随机最优化的框架下研究了不完全市场中欧式期权价格的确定问题。基于随机优化的分析方法的发展，给出了一般的形式主义，用于确定期权价格和最佳的交易策略（最优反馈控制），降低了总的内在风险写的选项。考虑了涉及交易费用、不确定性随机波动率、随机适应过程和预测过程的情形。开发了一个用于不完全市场期权定价的软件包，并给出了数值模拟结果。
The problem of determining the European-style option price in incomplete markets is examined within the framework of stochastic optimization. An analytic method based on the stochastic optimization is developed that gives the general formalism for determining the option price and the optimal trading strategy (optimal feedback control) that reduces the total risk inherent in writing the option. The cases involving transaction costs, the stochastic volatility with uncertainty, stochastic adaptive process, and forecasting process are considered. A software package for the option pricing for incomplete markets is developed and the results of numerical simulations are presented.