Developing a robust model for pricing inter-related volatility-based financial derivative contracts.

开发一个稳健的模型，用于对基于波动性的相互关联的金融衍生品合约进行定价。

• 批准号: LP0882947
• 负责人: Prof Song-Ping Zhu
• 金额: --
• 依托单位: University of Wollongong
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2008
• 资助国家: 澳大利亚
• 起止时间: 2008-01-01 至 2012-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0882947
• 关键词: Developing; robust; model; pricing; inter

Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient products for trading and risk management if they are priced correctly. This project will benefit investors by providing empirically viable models that will be able to be easily implemented to provide accurate and fast pricing solutions.

基于波动率的金融合约是在1990年代后期开发的，目的是为投资者提供一种简单的方法，使他们能够接触到未来的波动水平，从而提供一种手段，使他们能够对未来的波动水平进行投机，并对冲不可预测的波动风险。这可能会使他们避免损失大量资金。然而，这些产品只有在定价正确的情况下才能成为有效的交易和风险管理产品。该项目将通过提供经验上可行的模型使投资者受益，这些模型将能够轻松实施，以提供准确和快速的定价解决方案。