Mean square optimal hedges using higher order moments
Mean square optimal hedges using higher order moments
复制标题
使用高阶矩的均方最优对冲
DOI：
10.1109/cifer.2003.1196252
复制
发表时间：
2003
期刊：
影响因子：
--
通讯作者：
J. Primbs
中科院分区：
文献类型：
--
作者：
Yuji Yamada;J. Primbs
作者提出并解决了考虑高阶矩（或累积量）的均方最优对冲问题。他们首先使用一般多项式格提供离散随机动力学模型，其中前 m 个累积量在每个时间步长上进行匹配。然后，他们分析基础资产过程中的高阶矩对衍生证券价格的影响。通过数值实验说明了波动性微笑和傻笑的期限结构与高阶累积量之间的关系。
The authors pose and solve a mean square optimal hedging problem that takes higher order moments (or cumulants) into account. They first provide a discrete stochastic dynamics model using a general multinomial lattice, where the first m cumulants are matched over each time step. They then analyze the effect of higher order moments in the underlying asset process on the price of derivative securities. The relationship between the term structure of the volatility smile and smirk and higher order cumulants is illustrated through numerical experiments.