英文标题：
《Pricing index options by static hedging under finite liquidity》
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作者：
John Armstrong, Teemu Pennanen, Udomsak Rakwongwan
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最新提交年份：
2018
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英文摘要：
  We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices and hedging portfolios on an investor\'s beliefs, risk preferences and financial position as well as on the price quotes. Computational techniques of convex optimisation allow for fast computation of the hedging portfolios and prices as well as sensitivities with respect to various model parameters. We illustrate the techniques by pricing and hedging of exotic derivatives on S&P index using call and put options, forward contracts and cash as the hedging instruments. The optimized static hedges provide good approximations of the options payouts and the spreads between indifference selling and buying prices are quite narrow as compared with the spread between super- and subhedging prices.
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中文摘要：
我们开发了一个衍生品市场无差异定价模型，其中报价具有买卖价差和有限数量。该模型量化了价格和对冲组合对投资者信念、风险偏好和财务状况以及价格报价的依赖性。凸优化的计算技术允许快速计算对冲投资组合和价格以及各种模型参数的敏感性。我们使用看涨期权、看跌期权、远期合约和现金作为套期工具，对标准普尔指数上的奇异衍生品进行定价和套期保值，以说明这些技巧。优化的静态套期保值提供了期权支付的良好近似值，无差异卖出和买入价格之间的价差与超级和次级价格之间的价差相比非常窄。
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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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