原则粘贴:将尾部附加到从期权价格恢复的风险中性概率密度函数上

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2023-11-07 DOI:10.1080/14697688.2023.2272677
Thomas R. Bollinger, William R. Melick, Charles P. Thomas
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引用次数: 0

摘要

常用的“曲线拟合”方法是使用期权价格构造标的资产的风险中性概率密度函数(RND),首先恢复密度的内部,然后附加左尾和右尾。通常,尾部的构造使内部和尾部的RND和风险中性累积分布函数(RNCDF)的值在附着点处匹配。我们提出并论证了在附着点要求左右尾准确定价期权的可行性。我们的方法产生的RND比之前的曲线拟合方法提供了更好的定价性能,无论是在RND构建中使用的选项还是那些没有使用的选项。我们还证明,看跌期权奇偶性使样本期权内和样本期权外的分类复杂化。
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Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
The popular ‘curve-fitting’ method of using option prices to construct an underlying asset's risk neutral probability density function (RND) first recovers the interior of the density and then attaches left and right tails. Typically, the tails are constructed so that values of the RND and risk neutral cumulative distribution function (RNCDF) from the interior and the tails match at the attachment points. We propose and demonstrate the feasibility of also requiring that the left and right tails accurately price the options with strikes at the attachment points. Our methodology produces a RND that provides superior pricing performance than earlier curve-fitting methods for both those options used in the construction of the RND and those that were not. We also demonstrate that Put-Call Parity complicates the classification of in and out of sample options.
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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