英文标题：
《Optimal robust bounds for variance options》
---
作者：
Alexander M. G. Cox and Jiajie Wang
---
最新提交年份：
2013
---
英文摘要：
  Robust, or model-independent properties of the variance swap are well-known, and date back to Dupire and Neuberger, who showed that, given the price of co-terminal call options, the price of a variance swap was exactly specified under the assumption that the price process is continuous. In Cox and Wang we showed that a lower bound on the price of a variance call could be established using a solution to the Skorokhod embedding problem due to Root. In this paper, we provide a construction, and a proof of optimality of the upper bound, using results of Rost and Chacon, and show how this proof can be used to determine a super-hedging strategy which is model-independent. In addition, we outline how the hedging strategy may be computed numerically. Using these methods, we also show that the Heston-Nandi model is \'asymptotically extreme\' in the sense that, for large maturities, the Heston-Nandi model gives prices for variance call options which are approximately the lowest values consistent with the same call price data.
---
中文摘要：
方差互换的稳健或独立于模型的特性是众所周知的，可以追溯到Dupire和Neuberger，他们证明，考虑到共终端看涨期权的价格，方差互换的价格是在假设价格过程是连续的情况下精确指定的。在Cox和Wang中，我们证明了方差调用价格的下界可以通过使用根的Skorokhod嵌入问题的解决方案来建立。在本文中，我们使用Rost和Chacon的结果提供了上界的构造和最优性证明，并展示了如何使用这个证明来确定与模型无关的超级套期保值策略。此外，我们还概述了对冲策略的数值计算方法。使用这些方法，我们还证明了Heston-Nandi模型是“渐近极端”的，即对于大型到期日，Heston-Nandi模型给出的方差看涨期权价格约为与相同看涨价格数据一致的最低值。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->