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金融期权风险对冲参数的精确估计是衍生品风险管理实践的重要环节,也是金融工程学术界研究的热点之一.模拟仿真方法由于规避了“维度灾难”问题,近年来成为金融工程的主流技术之一.提出了一种基于路径求导的新的模拟仿真方法,来高效地估计Lévy过程下的金融期权风险对冲参数.对于满足Lévy过程的资产价格模型,仅有特征函数是已知的,通过Fourier逆变换并且通过线性插值方法来构造其分布函数和密度函数,从而可以生成随机样本并得到风险对冲参数的模拟仿真估计.数值试验验证了该方法的实际效果,结果显示,与文献中现有的方法相比,提出的估计方法具有更高的计算效率.
Precise estimation of financial options risk hedging parameters is an important part of derivative risk management practices and one of the hot topics in financial engineering academic research.As simulation technology has avoided the problem of “dimensionality disaster”, it has become the mainstream of financial engineering in recent years Technology.A new simulation method based on path derivation is proposed to estimate the hedging risk of financial options under Lévy process efficiently.For the asset price model that satisfies the Lévy process, only the eigenfunction is known , By Fourier inverse transform and by the linear interpolation method to construct its distribution function and density function, it can generate random samples and obtain simulation simulation of risk hedging parameters.Numerical tests verify the practical effect of the method, the results show that with the literature Compared with the existing methods, the proposed estimation method has higher computational efficiency.