衍生品定价:模型风险及其影响

Model Risk and Its Effects on Derivatives Pricing

本文通过模拟衍生品空头的对冲盈亏来研究模型风险以及它给衍生品定价和复制带来的影响。本文检验了在参数复制和传统的Delta复制两种复制策略下,其复制误差与模型选择、真实测度的漂移项和真实状态变量等的关系。本文还详细讨论了参数复制策略和Delta复制策略的优劣,以及模型风险对这两种复制策略的影响。

By simulation analysis of traders＇ gain and loss, this paper studies the model risk and its effects on derivatives pricing and replication. We test the impacts of model selection, drift in real measure and other state variables on hedge error, assuming that traders use either delta hedge with underlying or parameters hedge with underlying and options. Besides, we compare these two hedge strategies and how model risk affects them respectively.