Option Pricing with Bounded Expected Loss under Variance-Gamma Processes
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 송성주 | - |
dc.contributor.author | 송종우 | - |
dc.date.accessioned | 2021-09-08T08:45:10Z | - |
dc.date.available | 2021-09-08T08:45:10Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2010 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/118147 | - |
dc.description.abstract | Exponential Levy models have become popular in modeling price processes recently in mathematical finance. Although it is a relatively simple extension of the geometric Brownian motion, it makes the market incomplete so that the option price is not uniquely determined. As a trial to find an appropriate price for an option, we suppose a situation where a hedger wants to initially invest as little as possible, but wants to have the expected squared loss at the end not exceeding a certain constant. For this, we assume that the underlying price process follows a variance-gamma model and it converges to a geometric Brownian motion as its quadratic variation converges to a constant. In the limit, we use the mean-variance approach to find the asymptotic minimum investment with the expected squared loss bounded. Some numerical results are also provided. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한국통계학회 | - |
dc.title | Option Pricing with Bounded Expected Loss under Variance-Gamma Processes | - |
dc.title.alternative | Option Pricing with Bounded Expected Loss under Variance-Gamma Processes | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 송성주 | - |
dc.identifier.bibliographicCitation | Communications for Statistical Applications and Methods, v.17, no.4, pp.575 - 589 | - |
dc.relation.isPartOf | Communications for Statistical Applications and Methods | - |
dc.citation.title | Communications for Statistical Applications and Methods | - |
dc.citation.volume | 17 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 575 | - |
dc.citation.endPage | 589 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001466671 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Option pricing | - |
dc.subject.keywordAuthor | variance-gamma processes | - |
dc.subject.keywordAuthor | weak convergence | - |
dc.subject.keywordAuthor | incomplete market | - |
dc.subject.keywordAuthor | bounded loss | - |
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