Managing Option Trading Risk when Mental Accounting Influences Prices

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2013-11-24 DOI:10.2139/ssrn.2377889

Hammad Siddiqi

引用次数: 0

Abstract

Experimental evidence and opinions of market professionals suggest that mental accounting influences option prices. I explore the implications of mental accounting of a call option with its underlying for risk management. If mental accounting influences prices and the Black Scholes approach is used, then for in-the-money call options, delta-risk is under-estimated, gamma-risk is over-estimated, and the extent of time decay is under-estimated. Covered call writing is significantly more profitable with mental accounting than without it. Formulas for Greeks adjusted for mental accounting are put forward.

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心理会计影响价格时的期权交易风险管理

实验证据和市场专业人士的意见表明，心理会计影响期权价格。我探讨了看涨期权的心理会计及其潜在的风险管理的含义。如果心理会计影响价格，并且使用了Black Scholes方法，那么对于现价看涨期权，delta风险被低估了，gamma风险被高估了，时间衰减的程度被低估了。有了心理会计，备兑看涨期权的撰写要比没有它更有利可图。对希腊人提出了经过心理核算调整的公式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.