摘要翻译:
欧式和美式交易所期权的估值和平价公式都是在一个通用的金融模型中提出的,该模型考虑到了资产价格的跳跃、违约的可能性和“泡沫”。公式是通过辅助概率的期望,利用数值变化技术给出的。广泛的讨论提供了民俗学的结果,如默顿的不早行使定理和传统的宇称关系,必须改变在这个更多功能的框架。
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英文标题:
《Valuation and parities for exchange options》
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作者:
Constantinos Kardaras
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最新提交年份:
2014
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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:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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英文摘要:
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and "bubbles" in asset prices. The formulas are given via expectations of auxiliary probabilities using the change-of-numeraire technique. Extensive discussion is provided regarding the way that folklore results such as Merton's no-early-exercise theorem and traditional parity relations have to be altered in this more versatile framework.
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PDF链接:
https://arxiv.org/pdf/1206.3220