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熵框架下随机净债务的风险中性与期权定价

Risk-Neutrality of RND and Option Pricing within an Entropy Framework.

作者信息

Yu Xisheng

机构信息

School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, China.

出版信息

Entropy (Basel). 2020 Jul 30;22(8):836. doi: 10.3390/e22080836.

DOI:10.3390/e22080836
PMID:33286607
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7517436/
Abstract

This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution close enough to the correct one is obtained, and its risk-neutrality is deeply verified based on simulations. Using this resultant risk-neutral distribution (RND), a sample of risk-neutral paths of the underlying price is generated and ultimately the European option's prices are computed. The pricing performance and analysis in simulations demonstrate that this proposed valuation is comparable to the benchmarks and can produce fairly accurate prices for options.

摘要

本文通过纳入从市场可得期权中提取的一组信息性风险中性矩（RNM）作为约束条件，构建了一个熵定价框架。在受RNM约束的熵框架内，获得了一个足够接近正确分布的独特分布，并基于模拟对其风险中性进行了深入验证。利用由此产生的风险中性分布（RND），生成了标的价格的风险中性路径样本，并最终计算出欧式期权的价格。模拟中的定价表现和分析表明，这种提出的估值方法与基准相当，能够为期权产生相当准确的价格。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/babe/7517436/143ae9cd2ac0/entropy-22-00836-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/babe/7517436/5033d123a824/entropy-22-00836-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/babe/7517436/143ae9cd2ac0/entropy-22-00836-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/babe/7517436/5033d123a824/entropy-22-00836-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/babe/7517436/143ae9cd2ac0/entropy-22-00836-g002.jpg

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本文引用的文献

1
Pricing Interval European Option with the Principle of Maximum Entropy.基于最大熵原理的欧式期权定价区间
Entropy (Basel). 2019 Aug 13;21(8):788. doi: 10.3390/e21080788.