在lsamvy流程下对具有流动性风险的亚洲期权进行估值

IF 0.7 3区工程技术 Q4 ENGINEERING, INDUSTRIAL

Probability in the Engineering and Informational Sciences Pub Date : 2022-02-07 DOI:10.1017/s026996482200002x

Chengyou Cai, Xingchun Wang

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引用次数: 0

摘要

本文研究了具有流动性风险的亚洲期权的定价问题。我们采用一般的lsamvy流程来捕捉所有资产的流动性贴现因子和信息流程的变化。在提出的定价模型中，我们利用傅里叶变换方法得到了弱势亚洲期权的封闭式定价公式。最后，利用推导出的定价公式对不对称跳跃风险的影响进行了实证分析，结果表明，不对称跳跃风险对不同货币性的(弱势)亚洲期权的影响是相对稳定的。

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Valuing vulnerable Asian options with liquidity risk under Lévy processes

In this paper, we study the pricing of vulnerable Asian options with liquidity risk. We employ general Lévy processes to capture the changes in the liquidity discount factors and the information processes of all assets. In the proposed pricing model, we obtain the closed-form pricing formula of vulnerable Asian options using the Fourier transform methods. Finally, the derived pricing formula is used to illustrate the effects of asymmetric jump risk, and the effects are relatively stable on (vulnerable) Asian options with different moneynesses.

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来源期刊

Probability in the Engineering and Informational Sciences 数学-工程：工业

CiteScore

2.20

自引率

18.20%

发文量

审稿时长

>12 weeks

期刊介绍： The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.