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首页> 外文期刊>Journal of Economic Dynamics and Control >A risk reserve model for hedging in incomplete markets
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A risk reserve model for hedging in incomplete markets

机译：在不完全市场中进行对冲的风险准备金模型

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This paper presents a new approach to the pricing and hedging problem for contingent claims in incomplete markets. We assume that traders wish to maximize the expected final payoff of the hedging portfolio and the claims, and we avoid the use of utility functions. Instead, we model how traders are punished when taking excessive risks in practice. To do so, we introduce an extra reserve bank account, which earns a smaller rate of return than a standard deposit bank account. The reserve account should always contain a minimal amount of money, which depends on the risk that the trader's portfolio is exposed to. We focus on a specific example which uses option price sensitivities (the 'Greeks') to specify the risk. The resulting optimization problem can then be solved in a rather explicit form, and we show how the solution naturally leads to bid-ask spreads, prices which depend on the trader's current position and implied volatility smiles.
机译：本文提出了一种解决不完全市场中或有债权的定价和对冲问题的新方法。我们假设交易者希望最大程度地增加对冲投资组合和索赔的预期最终收益，并且避免使用效用函数。相反，我们模拟了在实践中承担过多风险时如何惩罚交易者。为此，我们引入了一个额外的储备银行帐户，该帐户的收益率低于标准存款银行帐户。储备账户应始终包含少量资金，这取决于交易者投资组合所承受的风险。我们重点关注一个使用期权价格敏感性（“希腊语”）来指定风险的特定示例。然后可以以相当明确的形式解决由此产生的优化问题，并且我们将展示该解决方案如何自然导致买卖差价，价格（取决于交易者的当前头寸）和隐含的波动性微笑。

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