Volatility uncertainty;
Ambiguity aversion;
Option pricing and hedging;
Asymptotics;
MODEL UNCERTAINTY;
SUPERREPLICATION;
ROBUSTNESS;
ARBITRAGE;
BOUNDS;
D O I:
10.1007/s00780-016-0309-z
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas for prices and hedging strategies in terms of the security's cash gamma.
机构:
No Arizona Univ, WA Franke Coll Business, 101 E McConnell Dr, Flagstaff, AZ 86011 USANo Arizona Univ, WA Franke Coll Business, 101 E McConnell Dr, Flagstaff, AZ 86011 USA