英文标题：
《Incorporating Views on Market Dynamics in Options Hedging》
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作者：
Antoine E. Zambelli
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最新提交年份：
2015
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英文摘要：
We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we explore whether it is possible to adjust the number of shares needed to effectively hedge our position to account for views on market dynamics from present until the end of our interval, to account for the time-dependence of the options\' sensitivity to the underlying. We derive an analytical expression for the number of shares needed by adjusting the standard Black-Scholes-Merton $\\Delta$ quantity, in the case of an arbitrary process for implied volatility, and we present numerical results.
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中文摘要：
我们研究了在投资组合持有期间，将市场波动信息或观点纳入与标的资产相关的欧洲期权套期保值的可能性。给定一个固定的持有期间隔，我们探讨是否有可能调整有效对冲我们头寸所需的股份数量，以考虑从现在到间隔结束期间的市场动态观点，并考虑期权对标的资产的敏感性的时间依赖性。在隐含波动率的任意过程中，我们推导了通过调整标准Black-Scholes-Merton$\\Delta$数量所需股票数量的解析表达式，并给出了数值结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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