文章基本信息

标题：Trajectorial asset models with operational assumptions
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作者：Dede Sukandar ; Anna Muawanah ; Tarso Rudiana 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2019
卷号：3
期号：4
页码：661-708
DOI：10.3934/QFE.2019.4.661
语种：English
出版社：AIMS Press
摘要：The paper addresses the problem of providing a framework and an algorithm to evaluate super and sub replicating prices, for European options, having interesting risk-reward characteristics. A general operational framework is put forward and illustrated by an algorithmic construction of one-dimensional models for option pricing. Asset models are defined based on a class of investors characterized by how they operate on financial data leading to potential portfolio rebalances. Once observable variables are selected for modeling, necessary conditions constraining these variables and resulting from the operational setup are derived. Future uncertainty is then reflected in the construction of combinatorial trajectory spaces satisfying such constraints. As the risky asset unfolds, it can be tested dynamically for the validity of observable sufficient conditions that rigorously imply the validity of the models. The paper describes the resulting algorithmic construction of such trajectory spaces and, in the absence of probability assumptions, a minmax algorithm that is available to evaluate the super and sub replicating prices.
关键词：trajectorial asset models;superhedging;option pricing;operational;Agent Based Models