SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
研究了用简单路径空间为246个敲出期权定价，通过压力测试和合约特征预测，发现预测压力水平构建的卖出价与市场价格样本内相关性达92%，并展示了用看涨期权对冲可降低10%卖出价。
For data on market prices for 246 cliquets we consider pricing these exotic options using a relatively simple path space. The path space is subsequently stressed to market implied stress levels as well as stress levels predicted from contract characteristics. An additive process transitioning from a Sato process to a Levy process is formulated and estimated on vanilla options. Ask prices constructed from predicted stress levels are observed to have an in sample correlation of 92% with market prices. Interestingly, it is observed that capped cash flows have negative stress levels while uncapped products have positive stress levels. We illustrate the effect of hedging cliquet liabilities using call options as hedging assets permitting a 10% reduction in ask prices.