基于捆绑衍生物的服务质量保证虚通路定价
Pricing Virtual Paths with Quality-of-Service Guarantees as Bundle Derivatives
摘要：
我们描述了一个模型的通信网络，使我们能够定价复杂的网络服务的金融衍生工具合同的基础上，在个别路由器的容量的现货价格。我们证明了一个定理的Girsanov变换，是有用的基础资产，它可以用来定价许多复杂的网络服务的线性衍生品的定价，它是用来定价的选项，使访问两个网络节点之间的几个虚拟通道之一，在指定的未来时间间隔。给出了连续时间套期保值策略，使得期权价格与服务提供者的风险态度无关。期权价格包含对数正态变量之和的密度函数，必须对其进行数值计算。
英文摘要：
We describe a model of a communication network that allows us to price complex network services as financial derivative contracts based on the spot price of the capacity in individual routers. We prove a theorem of a Girsanov transform that is useful for pricing linear derivatives on underlying assets, which can be used to price many complex network services, and it is used to price an option that gives access to one of several virtual channels between two network nodes, during a specified future time interval. We give the continuous time hedging strategy, for which the option price is independent of the service providers attitude towards risk. The option price contains the density function of a sum of lognormal variables, which has to be evaluated numerically.
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。
