论文标题
通过金融衍生工具完成的最佳市场完成，并应用于波动风险
Optimal market completion through financial derivatives with applications to volatility risk
论文作者
论文摘要
本文研究了在随机波动（SV）模型框架内完成金融市场的最佳选择。我们引入了一种有效，准确的基于模拟的方法，适用于广义扩散模型，以近似基于最佳导数的投资组合策略。我们基于Escobar-Anel等人提出的双重优化方法（即预期的效用最大化和风险最小化）。 （2022）;证明勒死选项是股票选项中市场完成的最佳选择。此外，我们探讨了使用波动率指数衍生品的好处，并得出结论，只有可用的长期成熟度权益期权，它们才能更方便。
This paper investigates the optimal choices of financial derivatives to complete a financial market in the framework of stochastic volatility (SV) models. We introduce an efficient and accurate simulation-based method, applicable to generalized diffusion models, to approximate the optimal derivatives-based portfolio strategy. We build upon the double optimization approach (i.e. expected utility maximization and risk exposure minimization) proposed in Escobar-Anel et al. (2022); demonstrating that strangle options are the best choices for market completion within equity options. Furthermore, we explore the benefit of using volatility index derivatives and conclude that they could be more convenient substitutes when only long-term maturity equity options are available.
