A Valuation Model of Financial Derivatives under the Influence of Multiple Correlated Factors with Sudden and Rare Uncertainty

在多種相關因素影響下面臨罕見突變之衍生性金融商品估價模型

金淦(Gan Jin)

《財務金融學刊》 22卷4期 (2014/12) Pp. 37-53

https://doi.org/10.6545/JFS.2014.22(4).2

摘要

對於受多種相關不確定因素（包括交易資產價格以外因素）影響之證券市場，本文使用一種較為統一的方法，以推導出衍生性金融商品之估價模型。本文將此一方法運用於非線性標的狀態變數，在系統突變情形下推導出估價模型，並在一定條件下推導出模型之閉式解。

關鍵字

狀態變數 ； 衍生性金融商品 ； 一般估價方程式 ； 系統跳躍風險

並列摘要

The traditional pricing theory of financial derivatives focuses mostly on derivatives dependent on prices of traded assets, but seldom cares about derivatives on other state variables that are not tradable in securities markets. In this paper, we mainly introduce a unified method to discuss derivatives pricing problems under the circumstances mentioned previously and deduce a general model for the derivatives. This methodology is then extended to the situation where the underlying state variables change with systematic jump risk. We also study the pricing model for derivatives when the equations of the underlying state variables are nonlinear.

並列關鍵字

State variable ； derivatives ； general valuation (pricing) equation ； systematic jump risk

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