期权定价:例子和悬而未决的问题

IF 0.8 Q3 STATISTICS & PROBABILITY Monte Carlo Methods and Applications Pub Date : 2023-10-24 DOI:10.1515/mcma-2023-2014
Nikolaos Halidias
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引用次数: 0

摘要

摘要期权价格预测除了套期保值策略,如二项套期保值策略、布莱克-斯科尔斯套期保值策略等,没有其他方法。我们将研究这两种基本对冲策略的可行性,我们将看到布莱克-斯科尔斯对冲策略不可行,因为该策略需要立即重建复制投资组合。因此,期权的真实世界价格与布莱克-斯科尔斯对冲策略完全无关!我们将适当地重新定义二项对冲策略,使其在实际中有用,并提出其他可行且通常更有效的对冲策略,其中一些策略对没有可交易标的资产的期权实际有用。最后,我们将提到与上述相关的一些悬而未决的问题。
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Option pricing: Examples and open problems
Abstract There is no method of predicting the price of an option other than hedging strategies such as the binomial hedging strategy, the Black–Scholes hedging strategy and others. We will study these two basic hedging strategies in terms of their feasibility, and we will see that the Black–Scholes hedging strategy is not feasible because this strategy demands instantaneously rebuilding the replicating portfolio. Consequently, the real world prices of the options are not relevant at all with the Black–Scholes hedging strategy! We will suitably redefine the binomial hedging strategy so that it will be practically useful and present other feasible and generally more effective hedging strategies with some of them practically useful for options with no tradable underlying assets. Finally, we will mention some open questions related to the above.
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来源期刊
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications STATISTICS & PROBABILITY-
CiteScore
1.20
自引率
22.20%
发文量
31
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