Model Risk and Its Effects on Derivatives Pricing
通过模拟交易者的盈亏，研究模型选择、真实测度漂移等因素对衍生品定价和复制中套期保值误差的影响，并比较两种套期保值策略受模型风险影响的程度。
By simulation analysis of traders' gain and loss,this paper studies the model risk and its effects on derivatives pricing and replication.We test the impacts of model selection,drift in real measure and other state variables on hedge error,assuming that traders use either delta hedge with underlying or parameters hedge with underlying and options.Besides,we compare these two hedge strategies and how model risk affects them respectively.