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Effect of institutional deleveraging on option valuation problems
Journal of Industrial and Management Optimization ( IF 1.2 ) Pub Date : 2020-03-22 , DOI: 10.3934/jimo.2020060
Qing-Qing Yang , , Wai-Ki Ching , Wan-Hua He , Na Song ,

This paper studies the valuation problem of European call options when the presence of distressed selling may lead to further endogenous volatility and correlation between the stock issuer's asset value and the price of the stock underlying the option, and hence influence the option price. A change of numéraire technique, based on Girsanov Theorem, is applied to derive the analytical pricing formula for the European call option when the price of underlying stock is subject to price pressure triggered by the stock issuer's own distressed selling. Numerical experiments are also provided to study the impacts of distressed selling on the European call option prices.

中文翻译:

制度去杠杆化对期权估值问题的影响

本文研究了当不良销售的存在可能导致进一步的内在波动以及股票发行人的资产价值与期权所包含的股票价格之间的相关性时的欧洲看涨期权的估值问题。当标的股票的价格受到股票发行人自身的不良抛售引发的价格压力时,基于吉尔萨诺夫定理的数值计算技术的变化可用于推导欧式看涨期权的分析定价公式。还提供了数值实验来研究不良销售对欧洲看涨期权价格的影响。
更新日期:2020-03-22
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