摘要
随着金融衍生品的日益复杂化,衍生品定价过程中的模型风险越来越受到学术界与业界的重视。论文首先对模型风险的定义与度量的相关文献进行了回顾;然后对衍生品定价过程可能会产生模型风险的各个环节进行了综述,包括随机过程选择、估计方法选择、估计样本选择、定价理论范式选择、定价方法选择,并对其采用的理论、模型、方法进行了比较;最后对衍生品定价中各个环节的模型风险的共识和不足进行了总结,并对未来的研究方向进行了展望。
As the financial derivatives have been innovated into ever more complex forms, more and more attention have been paid to the model risk in derivative pricing. This paper firstly re- views the literature relevant to definition and measurement of model risk. Then all aspects of pri- cing which may result in model risk are studied, including the choice of stochastic process, esti- mation methods, sample for estimation and pricing models, and the relevant theory, models and methods were also examined. Finally, all aspects of derivative pricing and both the consensus and deficiencies in study of model risk are summarized. Basing on the conclusion, future direc- tion of research was proposed.
出处
《科学决策》
2012年第3期74-94,共21页
Scientific Decision Making
基金
国家自然科学基金项目(项目编号:70871023)
对外经贸大学教师学术创新团队项目(项目编号:CXTD2-04)
对外经济贸易大学校级课题(项目编号:08JJYB003)
