| Wasserstein分布鲁棒期权定价 |
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| 引用本文： | 刘炜,杨莉,于波.Wasserstein分布鲁棒期权定价[J].数学研究及应用,2021,41(1):99-110. |
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| 作者姓名： | 刘炜 杨莉 于波 |
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| 作者单位： | 大连理工大学数学科学学院, 辽宁 大连 116024; 北京师范大学珠海分校应用数学学院, 广东 珠海 519087 |
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| 基金项目： | 国家自然科学基金(Grant Nos.11571061; 11401075; 11971092), 中央高校基本科研专项资金(Grant No.DUT17RC(4)38). |
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| 摘 要： | In this paper, the option pricing problem is formulated as a distributionally robust optimization problem, which seeks to minimize the worst case replication error for a given distributional uncertainty set(DUS) of the random underlying asset returns. The DUS is defined as a Wasserstein ball centred the empirical distribution of the underlying asset returns. It is proved that the proposed model can be reformulated as a computational tractable linear programming problem. Finally, the results of the empirical tests are presented to show the significance of the proposed approach.
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| 关 键 词： | option pricing Wasserstein distance distributionally robust optimization |
| 收稿时间： | 2020/1/20 0:00:00 |
| 修稿时间： | 2020/10/24 0:00:00 |
Wasserstein Distributionally Robust Option Pricing |
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| Wei LIU,Li YANG,Bo YU.Wasserstein Distributionally Robust Option Pricing[J].Journal of Mathematical Research with Applications,2021,41(1):99-110. |
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| Authors: | Wei LIU Li YANG Bo YU |
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| Institution: | School of Mathematical Sciences, Dalian University of Technology, Liaoning 116024, P. R. China; School of Applied Mathematics, Beijing Normal University, Zhuhai, Guangdong 519087, P. R. China |
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| Abstract: | In this paper, the option pricing problem is formulated as a distributionally robust optimization problem, which seeks to minimize the worst case replication error for a given distributional uncertainty set (DUS) of the random underlying asset returns. The DUS is defined as a Wasserstein ball centred the empirical distribution of the underlying asset returns. It is proved that the proposed model can be reformulated as a computational tractable linear programming problem. Finally, the results of the empirical tests are presented to show the significance of the proposed approach. |
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| Keywords: | option pricing Wasserstein distance distributionally robust optimization |
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