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Valuing vulnerable Asian options with liquidity risk under Lévy processes
Probability in the Engineering and Informational Sciences ( IF 0.7 ) Pub Date : 2022-02-07 , DOI: 10.1017/s026996482200002x Chengyou Cai 1 , Xingchun Wang 1
中文翻译:
在 Lévy 过程中评估具有流动性风险的易受攻击的亚洲期权
更新日期:2022-02-07
Probability in the Engineering and Informational Sciences ( IF 0.7 ) Pub Date : 2022-02-07 , DOI: 10.1017/s026996482200002x Chengyou Cai 1 , Xingchun Wang 1
Affiliation
In this paper, we study the pricing of vulnerable Asian options with liquidity risk. We employ general Lévy processes to capture the changes in the liquidity discount factors and the information processes of all assets. In the proposed pricing model, we obtain the closed-form pricing formula of vulnerable Asian options using the Fourier transform methods. Finally, the derived pricing formula is used to illustrate the effects of asymmetric jump risk, and the effects are relatively stable on (vulnerable) Asian options with different moneynesses.
中文翻译:
在 Lévy 过程中评估具有流动性风险的易受攻击的亚洲期权
在本文中,我们研究了具有流动性风险的脆弱亚洲期权的定价。我们采用通用的Lévy流程来捕捉流动性贴现因素和所有资产的信息流程的变化。在所提出的定价模型中,我们使用傅立叶变换方法获得了脆弱亚洲期权的封闭式定价公式。最后,用推导的定价公式来说明非对称跳跃风险的影响,并且对于不同货币性的(脆弱的)亚洲期权,其影响相对稳定。