A General Valuation Model of Financial Derivatives in a Market with Diversifiable or Non-diversifiable Jump Risks
The traditional pricing theory of financial derivatives focused mostly on derivatives dependent on prices of traded assets,and seldom cared about other influence caused by other uncertain factors (such as climate,temperature or unknown effects of greenhouse gas (GHG) emission reductions,etc) that are not tradable on securities markets.But actually,the prices of derivatives will be changed under the influence of climate and other multiple correlated or uncorrelated factors (Some climatic or weather factor,such as air temperature,does affect the price of some derivative,and certainly is an underlying variable of a derivative per se).Correspondingly,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 has been extended to the situation when the underlying state variables change with jumps,i.e.,the state variables may reveal sudden and rare breaks logically accounted for by exogenous events on information.And we also study the pricing model when the equations of underlying state variables are nonlinear and derive a general valuation equation for derivatives.Furthermore,as compared with Merton ”8,9” and other scholars’ work,we give a more unified pricing methodology to study not only diversifiable jump risk,but also non-diversifiable jump risk,i.e.,this valuation methodology can be used to cope with diversifiable jump risk which is nonsystematic as well as non-diversifiable jump risk which is systematic.
Climatic uncertain factor State variable Derivatives General valuation (or pricing) equation non-diversifiable jump risk diversifiable jump risk
Jin Gan Li Zhongfei Situ Rong Huang Wenzao
Lingnan(University)College & Institute for Economics,Zhongshan University,Guangzhou 510275 Department of mathematics,Zhongshan University,Guangzhou 510275 Department of Financial Mathematics,School of Mathematical Sciences,Peking University,Beijing 100871
国内会议
成都
英文
1-8
2009-10-31（万方平台首次上网日期，不代表论文的发表时间）