On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

DOI10.1007/978-3-0348-0021-1_25zbMATH Open1246.91139arXiv0904.0984OpenAlexW135016973MaRDI QIDQ2904891FDOQ2904891

Authors: Lioudmila Vostrikova 

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Abstract: In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure $P$ and corresponding martingale measure $Q$ change to $ildeP$ and $ildeQ$ respectively. Then, we estimate $L_1$-distance of option's prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Levy models with special choice of martingale measure as Esscher measure, minimal entropy measure and $f^q$-minimal martingale measure. We illustrate our results by considering GMY and CGMY models.

Full work available at URL: https://arxiv.org/abs/0904.0984

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zbMATH Keywords

stabilityminimal entropy martingale measureincomplete model\(f^{q}\)-martingale measurecall/put option priceEsscher measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited In (1)

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