英文标题：
《Option Pricing of Twin Assets》
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作者：
Marcelo J. Villena and Axel A. Araneda
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最新提交年份：
2014
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英文摘要：
  How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is to use another similar or \"closely related\" asset or index which is traded, for hedging purposes. Implicitly, traders assume here that the higher the correlation between the traded and nontraded assets, the better the hedge is expected to perform. This raises the question as to how \\textquoteleft{}closely related\\textquoteright{} the assets really are. In this paper, the concept of twin assets is introduced, focusing the discussion precisely in what does it mean for two assets to be similar. Our findings point to the fact that, in order to have very similar assets, for example identical twins, high correlation measures are not enough. Specifically, two basic criteria of similarity are pointed out: i) the coefficient of variation of the assets and ii) the correlation between assets. From here, a method to measure the level of similarity between assets is proposed, and secondly, an option pricing model of twin assets is developed. The proposed model allows us to price an option of one nontraded asset using its twin asset, but this time knowing explicitly what levels of errors we are facing. Finally, some numerical illustrations show how twin assets behave depending upon their levels of similarities, and how their potential differences will traduce in MAPE (mean absolute percentage error) for the proposed option pricing model.
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中文摘要：
如何对非交易资产的债权进行定价和对冲，已成为当今期权定价理论中越来越重要的问题。处理这些问题的最常见做法是使用另一种类似或“密切相关”的资产或指数进行交易，用于对冲目的。在这里，交易者隐含地假设，交易资产和非交易资产之间的相关性越高，对冲预期表现越好。这就提出了一个问题，即这些资产实际上是如何密切相关的。本文介绍了孪生资产的概念，重点讨论了两种资产相似的含义。我们的研究结果表明，为了拥有非常相似的资产，例如同卵双胞胎，高相关性测量是不够的。具体而言，指出了两个基本的相似性标准：i）资产的变异系数和ii）资产之间的相关性。在此基础上，提出了一种度量资产间相似程度的方法。其次，建立了双资产期权定价模型。提出的模型允许我们使用一项非交易资产的孪生资产对一项非交易资产的期权定价，但这一次我们明确知道我们面临的错误程度。最后，一些数字示例显示了孪生资产的行为如何取决于它们的相似程度，以及它们的潜在差异将如何在拟议的期权定价模型的MAPE（平均绝对百分比误差）中进行转换。
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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
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