英文标题：
《Tail Option Pricing Under Power Laws》
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作者：
Nassim Nicholas Taleb, Brandon Yarckin, Chitpuneet Mann, Damir Delic,
and Mark Spitznagel
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最新提交年份：
2020
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英文摘要：
We build a methodology that takes a given option price in the tails with strike $K$ and extends (for calls, all strikes > $K$, for puts all strikes $< K$) assuming the continuation falls into what we define as \"Karamata Constant\" over which the strong Pareto law holds. The heuristic produces relative prices for options, with for sole parameter the tail index $\\alpha$, under some mild arbitrage constraints. Usual restrictions such as finiteness of variance are not required. The methodology allows us to scrutinize the volatility surface and test various theories of relative tail option overpricing (usually built on thin tailed models and minor modifications/fudging of the Black-Scholes formula).
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中文摘要：
我们构建了一种方法，该方法以给定的期权价格为尾部，行权为K$，并扩展（对于看涨期权，所有行权>K$，对于看跌期权，所有行权<K$），假设连续性落入我们定义的强帕累托定律所适用的“卡拉马塔常数”。在一些轻微的套利约束条件下，启发式生成期权的相对价格，唯一参数为尾部指数$\\α$。不需要通常的限制，如方差的有限性。该方法使我们能够仔细检查波动率表面，并测试相对尾部期权定价过高的各种理论（通常建立在细尾模型和对Black-Scholes公式的微小修改/篡改基础上）。
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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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