英文标题：
《Random Time Forward Starting Options》
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作者：
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
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最新提交年份：
2015
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英文摘要：
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\\bf Random Time Forward Starting (RTFS)}. We show that, under an appropriate \"martingale preserving\" hypothesis, we can exhibit arbitrage free prices, which can be explicitly computed in many classical market models, at least under independence between the random time and the assets\' prices. Practical implementations of the pricing methodologies are also provided. Finally a credit value adjustment formula for these OTC options is computed for the unilateral counterparty credit risk.
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中文摘要：
我们首先介绍了M.Rubinstein首先讨论的前向启动选项的自然概括。此处介绍的合同的主要特点是，罢工确定时间不是事先固定的，而是允许随机的，通常与某些事件的发生有关，无论是否具有财务性质。我们将这些选项称为{\\bf随机时间前向启动（RTFS）}。我们证明，在适当的“鞅保持”假设下，我们可以展示无套利价格，这可以在许多经典市场模型中明确计算，至少在随机时间和资产价格之间独立的情况下。还提供了定价方法的实际实现。最后，针对单边交易对手信用风险，计算这些OTC期权的信用价值调整公式。
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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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