随机控制的凸序:摆动合约案例

Gilles Pagès, Christian Yeo
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引用次数: 0

摘要

我们研究了一个典型随机最优控制问题上的凸性传播和凸排序问题,即摆动期权的定价问题,这是一种在能源市场上常见的金融衍生产品。标的资产的动态是由(emph{ARCH})凸系数模型来模拟的。我们证明了与随机最优控制问题相关的价值函数是标的资产价格的凸函数。我们还引入了一个支配准则,该准则提供了价值函数相对于基础 \emph{ARCH} 系数参数的单调性的见解。我们特别关注一维环境,通过斯坦因公式和正则化技术,我们证明了 \emph{ARCH}系数的凸性假设可以用半凸性假设来放松。为了验证本文提出的结果,我们还进行了数值说明。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Convex ordering for stochastic control: the swing contracts case
We investigate propagation of convexity and convex ordering on a typical stochastic optimal control problem, namely the pricing of \q{\emph{Take-or-Pay}} swing option, a financial derivative product commonly traded on energy markets. The dynamics of the underlying asset is modelled by an \emph{ARCH} model with convex coefficients. We prove that the value function associated to the stochastic optimal control problem is a convex function of the underlying asset price. We also introduce a domination criterion offering insights into the monotonicity of the value function with respect to parameters of the underlying \emph{ARCH} coefficients. We particularly focus on the one-dimensional setting where, by means of Stein's formula and regularization techniques, we show that the convexity assumption for the \emph{ARCH} coefficients can be relaxed with a semi-convexity assumption. To validate the results presented in this paper, we also conduct numerical illustrations.
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