SOFR衍生品的最优定价与对冲
Optimal Pricing and Hedging of SOFR Derivatives
AI总结：
本文针对流动性不足且不完备的SOFR衍生品市场，构建了与多类因素一致的无差异定价模型，通过CME衍生品数值验证，可快速为场外SOFR衍生品定价对冲，最优组合稀疏且对冲效果良好。
AI中文摘要：
交易所和场外市场（OTC）中有数千种SOFR衍生品可供交易，但该市场仍缺乏流动性且不完备，这类市场超出了经典风险中性方法的适用范围，经典方法隐含线性定价规则，最多只能得到近似对冲策略，其对冲误差可能难以量化。本文构建了一种无差异定价模型，该模型与观测到的衍生品报价、代理人的财务头寸、对不确定未来的看法以及由凸风险测度描述的风险偏好一致。除了价格和对冲策略外，该模型还明确描述了对冲误差及相关风险。通过使用数百种芝加哥商业交易所（CME）上市的衍生品进行数值示例，对无法复制的场外SOFR衍生品进行定价和对冲，在普通个人电脑上计算无差异价格耗时不到一分钟。研究发现，最优对冲组合往往是稀疏的，但仍能很好地近似衍生品的收益。
英文摘要：
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete. Such a market is beyond the scope of classic risk-neutral approaches that imply linear pricing rules and, at best, approximate hedging strategies whose hedging error may be difficult to quantify. This paper develops an indifference pricing model which is consistent with observed derivative quotes, the agent's financial position and views about the uncertain future as well as risk preferences as described by a convex risk measure. In addition to prices and hedging strategies, the model gives an explicit description of the hedging error and the associated risk. The approach is illustrated numerically using hundreds of CME-listed derivatives to price and hedge unreplicable OTC SOFR derivatives. The indifference prices are computed in less than a minute on a regular PC. We find that the optimal hedging portfolios tend to be sparse but still provide good approximations of the derivative payouts.
