共查询到10条相似文献,搜索用时 109 毫秒
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Dynamic programming and mean-variance hedging 总被引:4,自引:0,他引:4
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Hedging American contingent claims with constrained portfolios 总被引:5,自引:0,他引:5
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The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on
the bond prices, forward bond prices and so-called LIBOR rates, rather than on the instantaneous continuously compounded rates
as in most traditional models. Forward and spot probability measures are introduced in this general set-up. Two conditions
of no-arbitrage between bonds and cash are examined. A process of savings account implied by an arbitrage-free family of bond
prices is identified by means of a multiplicative decomposition of semimartingales. The uniqueness of an implied savings account
is established under fairly general conditions. The notion of a family of forward processes is introduced, and the existence
of an associated arbitrage-free family of bond prices is examined. A straightforward construction of a lognormal model of
forward LIBOR rates, based on the backward induction, is presented. 相似文献
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In this paper we consider the valuation of an option with time to expiration and pay-off function which is a convex function (as is a European call option), and constant interest rate , in the case where the underlying model for stock prices is a purely discontinuous process (hence typically the model is incomplete). The main result is that, for “most” such models,
the range of the values of the option, using all possible equivalent martingale measures for the valuation, is the interval
, this interval being the biggest interval in which the values must lie, whatever model is used. 相似文献
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LIBOR and swap market models and measures 总被引:9,自引:0,他引:9
Farshid Jamshidian 《Finance and Stochastics》1997,1(4):293-330
A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by arbitrage. Appropriate payoff
homogeneity and measurability conditions are identified which guarantee that a given payoff can be attained by a self-financing
trading strategy. LIBOR and swap derivatives satisfy this condition, implying they can be priced and hedged with a finite
number of zero-coupon bonds, even when there is no instantaneous saving bond. Notion of locally arbitrage-free price system
is introduced and equivalent criteria established. Stochastic differential equations are derived for term structures of forward
libor and swap rates, and shown to have a unique positive solution when the percentage volatility function is bounded, implying
existence of an arbitrage-free model with such volatility specification. The construction is explicit for the lognormal LIBOR
and swap “market models”, the former following Musiela and Rutkowski (1995). Primary examples of LIBOR and swap derivatives
are discussed and appropriate practical models suggested for each. 相似文献
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