美式或有索赔的风险差异定价

Rohini Kumar, Frederick "Forrest" Miller, Hussein Nasralah, Stephan Sturm
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引用次数: 0

摘要

本文研究了美式或有债权的定价问题,使用的是完全动态凸风险度量的差价定价法。在买方和卖方拥有潜在不同信息的情况下,我们为连续时间内的买方和卖方提供了风险差价的一般定义,并证明这些定义与无套利原则是一致的。针对随机波动模型,我们通过反映在后向随机微分方程中的后向随机微分方程解来描述差价,并证明这种描述为利用深度学习实现数值方法提供了基础。
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Risk-indifference Pricing of American-style Contingent Claims
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time, in a setting where buyer and seller have potentially different information, and show that these definitions are consistent with no-arbitrage principles. Specifying to stochastic volatility models, we characterize indifference prices via solutions of Backward Stochastic Differential Equations reflected at Backward Stochastic Differential Equations and show that this characterization provides a basis for the implementation of numerical methods using deep learning.
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