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Dynamic Hedging under Liquidity Risk
Jinqiang Yang,Zhaojun Yang 인하대학교 정석물류통상연구원 2009 인하대학교 정석물류통상연구원 학술대회 Vol.2009 No.10
This paper develops a framework for analyzing dynamic hedging strategies under liquidity risk. The liquidity risk is modeled in discrete time, which says the more you trade the more unfavorable to you the price will get and thus, you must pay more for same amount of assets or get less cash after selling ans asset. The portfolio dynamics under liquidity risk is established provided that portfolio is affine and self-financing. Following that, we present an affine hedging algorithm for computing moments of hedge error. Finally, numerical examples are shown in order to explain the quantitative relations among hedge error, liquidity costs, liquidity level and trading frequency.
A new foreign exchange model and potion pricing
Shenggang Yang,Juan Peng,Jinqiang Yang 인하대학교 정석물류통상연구원 2009 인하대학교 정석물류통상연구원 학술대회 Vol.2009 No.10
A new foreign exchange model is set up in our paper to describe the performance of the exchange rate between two countries, and it catches hold of the characteristics such as mean-reversion, self-similarity and long-term dependence which are widely existent in the foreign exchange market. Fortunately, we obtain the explicit solution of the price of the European foreign exchange option, which makes it convenient to compute the price. Additionally, the quantity relations between the variables and some interesting evidences are explored by comparative static analysis and these provide the valuable empiricism for investing, hedging and evading risk.
Real option consumption-utility based indifference pricing under stochastic volatility
Feng Shi,Jinqiang Yang,Kui Ma 인하대학교 정석물류통상연구원 2009 인하대학교 정석물류통상연구원 학술대회 Vol.2009 No.10
This paper deals with the consumption-utility based indifference pricing problem of real option under stochastic volatility by analyzing a mixed optimal control and optimal stopping problem under an incomplete market. Implied option value is given by the solution to a two dimensional free-boundary PDE and the numerical results are obtained by the finite difference method. The numerical analysis illustrates that stochastic volatility will increase the implied option value and encourage the agent exericse the option later. Additionally, the stochastic volatility results in more consumption and decreases the precautionary savings motive of the agent. And an increase in the risk aversion attituede raises those effects.