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A generalization of option pricing to price-limit markets
Review of Derivatives Research ( IF 0.786 ) Pub Date : 2019-07-03 , DOI: 10.1007/s11147-019-09160-1
Jia-Hau Guo , Lung-Fu Chang

This paper proposes an analytic solution for pricing options in markets with daily price limits. The Black–Scholes model is a nested case in which the daily price limit approaches infinity. Compared to the Black–Scholes model, our solution may solve the mispricing problem and could yield consistent results with existing numerical methods. Practitioners trading options in price-limit markets may resort to the finite difference method or Monte Carlo simulations. However, applying these numerical methods is often time consuming, thereby further illustrating the importance of an analytic solution.

中文翻译:

期权定价到限价市场的概括

本文提出了一个具有每日价格限制的市场中定价选项的解析解决方案。Black-Scholes模型是一个嵌套案例,其中每日价格限制接近无限。与Black-Scholes模型相比,我们的解决方案可以解决定价错误的问题,并且可以与现有的数值方法产生一致的结果。限价市场中从业者的交易选择可能诉诸于有限差分法或蒙特卡洛模拟。但是,应用这些数值方法通常很耗时,从而进一步说明了解析解决方案的重要性。
更新日期:2019-07-03
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