广义δ规避策略下的两值期权定价研究

在离散时间场合和不存在交易成本假设下,提出了期权定价的平均自融资极小方差规避策略,得到了含有残差风险的两值看涨期权价格满足的偏微分方程和相应的两值期权定价公式。通过用数值分析来比较新的期权定价模型与经典的期权定价模型,发现投资者的风险偏好和标度对期权定价有重要影响。由此说明,考虑残差风险对两值期权定价研究具有重要的理论和实际意义。

Pricing of Binary Option under the Generalized δ Avoiding Strategy

With the development of modern financial markets,financial derivatives including options in China are also pervasively important.Under the discrete time setting and without the transaction costs,we consider the residual risk on European option pricing model.we put forward an average self finance minimal variance hedging rule,and get a new hedging strategy with residual risk,which is called the generalized delta hedging strategy and we get the option price model satisfies the partial differential equation.By comparing the new model and the old pricing formula,we find that the residual risk has a great influence on the option pricing.