食谱对冲异国情调与非液体香草
Recipes for hedging exotics with illiquid vanillas
摘要：
在本文中，我们解决的问题时，有执行成本与香草期权交易的奇异期权的书的最佳Delta和Vega套期保值。在一个框架中，异国情调的期权定价使用的市场模型（例如，本地波动率模型不断重新校准香草期权价格）和香草期权价格驱动的随机波动率模型，我们表明，使用简单的近似，最佳的动态Delta和Vega对冲策略可以很容易地使用变分技术计算。
英文摘要：
In this paper, we address the question of the optimal Delta and Vega hedging of a book of exotic options when there are execution costs associated with the trading of vanilla options. In a framework where exotic options are priced using a market model (e.g. a local volatility model recalibrated continuously to vanilla option prices) and vanilla options prices are driven by a stochastic volatility model, we show that, using simple approximations, the optimal dynamic Delta and Vega hedging strategies can be computed easily using variational techniques.
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。
