论文标题
亚洲选项的非参数预测推断
Nonparametric Predictive Inference for Asian options
论文作者
论文摘要
作为依赖路径的异国选择之一，亚洲选择在能源市场上被广泛交易，无论是用于投机还是对冲。但是，很难定价，尤其是算术平均价格的价格。传统的交易程序要么通过假设基础资产的分配过于限制，要么通过使用近似值来进行分配。在几乎没有基础资产分布的假设并以非参数方法为基础资产分布的假设并采用历史数据的情况下，推断亚洲期权价格很有吸引力。在本文中，我们提出了一种新颖的方法，可以从不精确的统计方面给亚洲选择定价。非参数预测推断（NPI）用于推断未来基础资产价格的平均值，该价格试图使预测反映出更多的不确定性，因为信息有限。本文还提出了一个合理的成对交易标准，以作为一项风险措施，以进行亚洲期权比较。通过使用模拟技术或能源市场的经验数据，在几个示例中说明了亚洲选项的NPI方法。
Asian option, as one of the path-dependent exotic options, is widely traded in the energy market, either for speculation or hedging. However, it is hard to price, especially the one with the arithmetic average price. The traditional trading procedure is either too restrictive by assuming the distribution of the underlying asset or less rigorous by using the approximation. It is attractive to infer the Asian option price with few assumptions of the underlying asset distribution and adopt to the historical data with a nonparametric method. In this paper, we present a novel approach to price the Asian option from an imprecise statistical aspect. Nonparametric Predictive Inference (NPI) is applied to infer the average value of the future underlying asset price, which attempts to make the prediction reflecting more uncertainty because of the limited information. A rational pairwise trading criterion is also proposed in this paper for the Asian options comparison, as a risk measure. The NPI method for the Asian option is illustrated in several examples by using the simulation techniques or the empirical data from the energy market.
