MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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DOI：
10.2139/ssrn.562721
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发表时间：
2004-06
影响因子：
1.6
通讯作者：
R. Cont
中科院分区：
文献类型：
--
作者：
R. Cont
期权定价模型选择的不确定性会导致期权组合估值中的“模型风险”。在讨论了模型不确定性的定量度量应该验证的一些属性，以便在衍生工具风险管理的背景下是有用的和相关的，我们引入了一个定量框架，用于测量模型的不确定性的衍生工具定价的背景下。提出了两种方法：第一种方法基于与衍生品市场价格相容的一致风险度量，而第二种方法基于凸风险度量。我们的模型风险的措施导致溢价模型的不确定性，这是可比的其他风险措施和兼容的一组基准衍生品的市场价格的观察。最后，我们讨论了一些管理的“模型风险”的影响。
Uncertainty on the choice of an option pricing model can lead to “model risk” in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we introduce a quantitative framework for measuring model uncertainty in the context of derivative pricing. Two methods are proposed: the first method is based on a coherent risk measure compatible with market prices of derivatives, while the second method is based on a convex risk measure. Our measures of model risk lead to a premium for model uncertainty which is comparable to other risk measures and compatible with observations of market prices of a set of benchmark derivatives. Finally, we discuss some implications for the management of “model risk.”