关于高波动期期权的定价与套期保值

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摘要翻译：
期权定价是现代金融风险管理的一个组成部分。众所周知的布莱克和斯科尔斯（1973）公式通常用于这一目的。本文试图将他们的工作扩展到原始资产的无条件波动性在一定时期内不断增加的情形。我们认为市场正遭受金融危机。给出了标的资产价格方程的解，并给出了套期保值策略。另外，对于一个特殊的情形，证明了定价问题的一个封闭公式。本文所提出的公式可以使金融危机期间期权的价值评估和套期保值策略更加精确。
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英文标题：
《On the pricing and hedging of options for highly volatile periods》
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作者：
Youssef El-Khatib and Abdulnasser Hatemi-J
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最新提交年份：
2013
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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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英文摘要：
  Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during a certain period of time. We consider a market suffering from a financial crisis. We provide the solution for the equation of the underlying asset price as well as finding the hedging strategy. In addition, a closed formula of the pricing problem is proved for a particular case. The suggested formulas are expected to make the valuation of options and the underlying hedging strategies during financial crisis more precise.
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PDF链接：
https://arxiv.org/pdf/1304.4688

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关键词：套期保值 Quantitative conditional derivatives QUANTITATIV 原始 options 价值 定价 遭受