英文标题：
《Closed-End Formula for options linked to Target Volatility Strategies》
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作者：
Luca Di Persio, Luca Prezioso, Kai Wallbaum
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最新提交年份：
2019
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英文摘要：
Recent years have seen an emerging class of structured financial products based on options linked to dynamic asset allocation strategies. One of the most chosen approach is the so-called target volatility mechanism. It shifts between risky and riskless assets to control the volatility of the overall portfolio. Even if a series of articles have been already devoted to the analysis of options linked to the target volatility mechanism, this paper is the first, to the best of our knowledge, that tries to develop closed-end formulas for VolTarget options. In particular, we develop closed-end formulas for option prices and some key hedging parameters within a Black and Scholes setting, assuming the underlying follows a target volatility mechanism.
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中文摘要：
近年来，出现了一类基于与动态资产配置策略相关的期权的结构性金融产品。最常用的方法之一是所谓的目标波动率机制。它在风险资产和无风险资产之间转换，以控制整个投资组合的波动性。即使已经有一系列文章致力于分析与目标波动机制相关的期权，但据我们所知，本文是第一篇尝试开发Voltaget期权封闭式公式的文章。特别是，我们在Black和Scholes背景下开发了期权价格和一些关键对冲参数的封闭式公式，假设基础遵循目标波动机制。
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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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