American Strangle Options

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2020-05-03 DOI:10.1080/1350486X.2020.1825968

Shi Qiu

引用次数: 6

Abstract

ABSTRACT In this paper, we show that the double optimal stopping boundaries for American strangle options with finite horizon can be characterized as the unique pair of solution to a system of two nonlinear integral equations arising from the early exercise premium (EEP) representation. The proof of EEP representation is based on the change-of-variable formula with local time on curves. After comparing the return of the alternative portfolio including an American call and an American put option, we find that it is more preferable for an investor to select American strangle options to hedge an underlying asset with high volatility.

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美国扼杀期权

摘要本文证明了具有有限视界的美式勒勒期权的双最优停止边界可以表征为由早期期权溢价(EEP)表示的两个非线性积分方程系统的唯一解对。基于曲线上局部时间的变量变换公式证明了EEP表示。通过对包括美国看涨期权和美国看跌期权在内的另类投资组合的收益进行比较，我们发现投资者更倾向于选择美国扼杀期权来对冲高波动率的标的资产。

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

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.