دانلود مقاله ISI انگلیسی شماره 104020
ترجمه فارسی عنوان مقاله

قیمت گذاری مشتقات با تاثیر بازار و کتاب سفارش محدود

عنوان انگلیسی
Derivatives pricing with market impact and limit order book
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
104020 2017 12 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Automatica, Volume 86, December 2017, Pages 154-165

ترجمه کلمات کلیدی
کنترل تصادفی، کاربرد در امور مالی، قیمت گذاری مشتقات،
کلمات کلیدی انگلیسی
Stochastic control; Application in finance; Derivatives pricing;
پیش نمایش مقاله
پیش نمایش مقاله  قیمت گذاری مشتقات با تاثیر بازار و کتاب سفارش محدود

چکیده انگلیسی

This paper investigates the derivatives pricing under the existence of liquidity costs and market impact for the underlying asset in continuous time. First, we formulate the charge for the liquidity costs and the market impact on the derivatives prices through a stochastic control problem that aims to maximize the mark-to-market value of the portfolio less the quadratic variation multiplied by a risk aversion parameter during the hedging period and the liquidation cost at maturity. Then, we obtain the derivatives price by reduction of this charge from the premium in the Bachelier model. Second, we consider a second order semilinear partial differential equation (PDE) of parabolic type associated with the control problem, which is analytically solved or approximated by an asymptotic expansion around a solution to an explicitly solvable nonlinear PDE. Finally, we present the numerical examples of the pricing for a variance option and a European call option, and show comparative static analyses.