arXiv 1608.002802016-08q-fin.PRq-fin.MF

弱模型依赖障碍产品的定价

Pricing Weakly Model Dependent Barrier Products

Jan Kuklinski, Panagiotis Papaioannou, Kevin Tyloo

摘要：

我们讨论红利证书及障碍反向可换股结构性产品的定价方法。对于两种类型的产品，欧式障碍条件下的定价都是简单的，并且取决于观察到的市场期权定价的有效插值。定价产品我们讨论红利证书及障碍反向可换股结构性产品的定价方法。对于两种类型的产品，欧式障碍条件下的定价都是简单的，并且取决于观察到的市场期权定价的有效插值。为具有美式障碍条件的产品定价需要随机建模。我们发现，对于典型的市场参数，这个随机定价问题可以系统地减少到评估只有一个相当简单的随机参数是不对称的击中障碍。最后，在美式障碍条件下，红利凭证和障碍反向可转换债券的定价仅在$\pm\frac{2}{3}$的准确度范围内依赖于随机建模-例如，在此准确度限制内，我们可以在没有随机建模的情况下为这些产品定价。我们发现，剩余的价格成分是弱依赖于随机模型。结合这些方法，我们证明了一个几乎模型独立的定价程序的红利证书和障碍反向可转换结构性产品与美国障碍条件。

英文摘要：

We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products with an American barrier condition requires stochastic modelling. We show that for typical market parameters, this stochastic pricing problem can be systematically reduced to evaluating only one fairly simple stochastic parameter being the asymmetry of hitting the barrier. Eventually, pricing Bonus Certificates and Barrier Reverse Convertibles with an American barrier condition, shows to be dependent on stochastic modelling only within a range of $\pm\frac{2}{3}$ of accuracy - e.g. within this accuracy limitation we can price these products without stochastic modelling. We show that the remaining price component is weakly dependent on the stochastic models. Combining these together, we prove to have established an almost model independent pricing procedure for Bonus Certificates and Barrier Reverse-Convertible Structured Products with American barrier conditions.

机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。

摘要：

英文摘要：

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