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Pricing and Hedging of Illiquid Asset Derivatives

非流动资产衍生品的定价与对冲

基本信息

批准号：
19510138
负责人：
YAMADA Yuji
金额：
$ 2.83万
依托单位：
University of Tsukuba
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2007
资助国家：
日本
起止时间：
2007 至 2009
项目状态：
已结题

项目摘要

In this work, we consider pricing and hedging of the so-called illiquid asset derivatives in which the underlying assets are untraded such as weather derivatives or insurances, provide the methodology to formulate and solve these problems in a unified framework, and demonstrate empirical analysis using real data. First, we discuss the case of weather derivatives as a benchmark, where the underlying index is defined by the temperature (which may be useful for exchange market trades) or the wind speed (which may be used with wind power trades). In particular, we propose weather derivatives based on prediction errors of the wind speed to hedge the loss caused by prediction errors of the wind power output, and illustrate the hedge effect of the proposed derivatives. Then, we formulate a minimum variance hedging problem for contingent claims whose underlyings are untraded using liquidly traded assets, and provide a solution using additive models. A methodology for computing the prices of illiquid asset derivatives using the minimum market price of risk martingale measure is also demonstrated. Finally, we apply our proposed technique for hedging the payoff of European options in which the underlying index is given by a market index using several liquidly traded stocks. We also show how to construct an optimal portfolio using cointegrated pairs of stock and demonstrate case studies involving a number of pairs chosen from Nikkei 225 stocks.

在这项工作中，我们考虑所谓的非流动性资产衍生品的定价和对冲，其中的基础资产是不可交易的，如天气衍生品或保险，提供的方法来制定和解决这些问题在一个统一的框架，并证明实证分析使用真实的数据。首先，我们讨论天气衍生品作为基准的情况，其中基础指数是由温度（这可能对交易所市场交易有用）或风速（这可能与风力发电交易一起使用）定义的。特别是，我们提出了基于风速的预测误差的天气衍生品，以对冲风功率输出的预测误差所造成的损失，并说明了所提出的衍生品的对冲效果。然后，我们制定了一个最小方差套期保值问题的未定权益的基础是非交易的流动性交易资产，并提供了一个解决方案，使用添加剂模型。一种方法来计算的非流动性资产衍生产品的价格使用最低市场价格的风险鞅测度也证明了。最后，我们应用我们提出的技术对冲欧洲期权的回报，其中的基础指数是由一个市场指数，使用几个流动性交易的股票。我们还展示了如何构建一个最佳的投资组合，使用协整对股票和演示的案例研究，涉及一些对选择日经225股票。