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Communication Dans Un Congrès Année : 2011

On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

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Résumé

In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to ̃ P and ̃Q respectively. Then, we estimate PL 1-distance of option prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Lévy models with special choice of martingale measure as Esscher measure, minimal entropy measure and Pfq-minimal martingale measure. We illustrate our results by considering GMY and CGMY models.

Dates et versions

hal-03031587 , version 1 (30-11-2020)

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Lioudmila Vostrikova-Jacod. On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations. Seminar on Stochastic Analysis, Random Fields and Applications VI, 2011, Ascona, Switzerland. pp.453 - 471, ⟨10.1007/978-3-0348-0021-1_25⟩. ⟨hal-03031587⟩
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