英文标题：
《Accounting for Earnings Announcements in the Pricing of Equity Options》
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作者：
Tim Leung and Marco Santoli
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最新提交年份：
2015
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英文摘要：
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump to the stock price to represent the shock due to earnings. We consider different distributions of the scheduled earnings jump as well as different underlying stock price dynamics before and after the EA date. Our main contributions include analytical option pricing formulas when the underlying stock price follows the Kou model along with a double-exponential or Gaussian EA jump on the announcement date. Furthermore, we derive analytic bounds and asymptotics for the pre-EA implied volatility under various models. The calibration results demonstrate adequate fit of the entire implied volatility surface prior to an announcement. We also compare the risk-neutral distribution of the EA jump to its historical distribution. Finally, we discuss the valuation and exercise strategy of pre-EA American options, and illustrate an analytical approximation and numerical results.
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中文摘要：
我们研究了考虑收益公告（EA）价格影响的期权定价框架，并分析了事件发生前隐含波动率表面的行为。在公告日，我们加入了股价的随机跳升，以表示因盈利而产生的冲击。我们考虑了预期收益跳跃的不同分布，以及EA日期前后不同的基础股价动态。我们的主要贡献包括当标的股票价格在公告日遵循双指数或高斯EA跳跃时的分析期权定价公式。此外，我们还推导了各种模型下EA前隐含波动率的解析界和渐近性。校准结果表明，在宣布之前，整个隐含波动率表面都有足够的拟合度。我们还比较了EA跳跃的风险中性分布及其历史分布。最后，我们讨论了前EA美式期权的估值和行使策略，并给出了分析近似和数值结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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