模拟数字:设计更好的二元期权合约

Q1 Economics, Econometrics and Finance

Financial Markets, Institutions and Instruments Pub Date : 2021-09-20 DOI:10.1111/fmii.12151

Yisong S. Tian Ph.D.

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引用次数: 0

摘要

如果二元期权以货币形式到期，则支付固定的金额。虽然这种“要么现金要么一无所有”的回报结构对投机者非常有吸引力，但它也创造了操纵基础资产价格以获得额外回报的动机。在本文中，我们提出了更好的二元期权设计，以抑制市场操纵，并强调了这种设计的两个关键特征。我们用数值算例证明了新合同设计的有效性。

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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Analoging the digital: Designing better binary option contracts

Binary option pays a fixed dollar amount if it matures in the money and nothing otherwise. While this cash-or-nothing payoff structure is very attractive to speculators, it also creates incentives to manipulate the underlying asset price in order to gain extra payoff. In this paper, we propose better designs for binary options that disincentivize market manipulation and highlight two key features of such designs. We demonstrate the effectiveness of the new contract designs using numerical examples.

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来源期刊

Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.