英文标题：
《Quantization Under the Real-world Measure: Fast and Accurate Valuation
  of Long-dated Contracts》
---
作者：
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz, Eckhard Platen
---
最新提交年份：
2018
---
英文摘要：
  This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive marginal quantization (JRMQ) algorithms outside the framework of traditional risk-neutral methods by pricing options under the real-world probability measure, using the benchmark approach. The benchmark approach is reviewed, and the real-world pricing theorem is presented and applied to various long-dated claims to obtain less expensive prices than suggested by traditional risk-neutral valuation. The growth-optimal portfolio (GOP), the central object of the benchmark approach, is modelled using the time-dependent constant elasticity of variance model (TCEV). Analytic European option prices are derived and the RMQ algorithm is used to efficiently and accurately price Bermudan options on the GOP. The TCEV model is then combined with a $3/2$ stochastic short-rate model and RMQ is used to price zero-coupon bonds and zero-coupon bond options, highlighting the departure from risk-neutral pricing.
---
中文摘要：
本文为作为保险和养老基金协议组成部分的长期合同的快速准确定价提供了一种方法。它在传统风险中性方法的框架之外，通过在现实世界概率测度下的期权定价，采用基准方法，应用递归边际量化（RMQ）和联合递归边际量化（JRMQ）算法。回顾了基准法，提出了现实世界的定价定理，并将其应用于各种长期债权，以获得比传统风险中性估价建议的价格更低的价格。增长最优投资组合（GOP）是基准方法的核心对象，它是使用依赖时间的常数方差弹性模型（TCEV）建模的。推导了解析型欧式期权价格，并利用RMQ算法对GOP上的百慕大期权进行了高效、准确的定价。然后，将TCEV模型与3/2美元随机短期利率模型相结合，并使用RMQ对零息票债券和零息票债券期权进行定价，强调偏离风险中性定价。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--

---
PDF下载：
-->