On Minimizing Risk in Incomplete Markets Option Pricing Models
On Minimizing Risk in Incomplete Markets Option Pricing Models
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不完全市场期权定价模型中风险最小化
DOI：
10.1142/s0219024998000126
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发表时间：
1998
影响因子：
0.5
通讯作者：
Ola Hammarlid
中科院分区：
文献类型：
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作者：
Ola Hammarlid
研究了期权定价的Bouchaud-Sornette、Schweizer和Schal方法，提出了与Bouchaud-Sornette方法相一致的期权定价方法。给出了期权和股票交易的财富平衡和风险的定义。分析了在不完全市场模型中不可能存在完美对冲的风险最小化策略问题。根据Bouchaud和Sornette的方法，使用该策略，期权是根据公平博弈条件定价的。本文建立了全局风险最小化与局部风险最小化之间的等价关系，并证明了Wolczynska的一个期权价格猜想。我还研究了有额外利润的股票投资组合的最优性。
I study the Bouchaud–Sornette, Schweizer and Schal way of pricing options, presenting the methodology in accordance with Bouchaud–Sornette. The definitions of the wealth balance and risk from trading in options and stocks are presented. The problem of finding a risk minimizing strategy in an incomplete market model where a perfect hedge is not possible is analyzed. Using this strategy according to the approach of Bouchaud and Sornette the option is priced by a fair game condition. In this article I establish the equivalence between global and local risk minimization and prove an option price conjecture of Wolczynska. I also investigate optimality for a stock portfolio with extra profit.