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

DOI10.1007/978-3-0348-0021-1_25MaRDI QIDQ2904891zbMATH OpenOpenAlexFDO

Authors Lioudmila Vostrikova

Publication date 24 August 2012

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

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

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)

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.

Recommendations

• scientific article; zbMATH DE number 1536420
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• The pricing of contingent claims and optimal positions in asymptotically complete markets
• Contingent claims and market completeness in a stochastic volatility model.
• Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
• scientific article; zbMATH DE number 3891046

Cites work

• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• scientific article; zbMATH DE number 4020213 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1257762 (Why is no real title available?)
• scientific article; zbMATH DE number 1897415 (Why is no real title available?)
• A General Approach to the Optimality of Minimum Distance Estimators
• An integral representation for the Hellinger distance.
• Convergence in distribution of minimum-distance estimators
• Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Jump–Type Lévy Processes
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• Minimal Hellinger martingale measures of order \(q\)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• On Martingale Measures for Stochastic Processes with Independent Increments
• On continuity properties for option prices in exponential Lévy models
• On necessary and sufficient conditions for convergence of probability measures in variation
• On the duality principle in option pricing: semimartingale setting
• On the minimal martingale measure and the möllmer-schweizer decomposition
• On the variation distance for probability measures defined on a filtered space
• On the weak convergence of likelihood ratio processes of general statistical parametric models
• Stochastic Volatility for Lévy Processes
• Stochastic volatility, jumps and hidden time changes
• The cumulant process and Esscher's change of measure
• The minimal entropy martingale measures for geometric Lévy processes
• Time changes for Lévy processes
• Uniform convergence of semimartingales and minimum distance estimators

Cited in

(2)

• Incorporating statistical model error into the calculation of acceptability prices of contingent claims
• On continuity properties for option prices in exponential Lévy models

This page was built for publication: On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2904891)