美国看跌期权的Vega积分表示

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-07-25 DOI:10.2139/ssrn.2827037

Yanchu Liu, Zhenyu Cui, Ning Zhang

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引用次数: 2

摘要

Huang et al.(1996)中有一个不准确的公式。事实上，在他们的方程(14)中缺少一个重要的项来计算一个重要的期权套期保值参数的值，即织女星。我们通过提供它的正确形式和描述一个相关的(新的)积分方程来修正它。一些相关的解释和论点也得到了纠正。

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Integral Representation of Vega for American Put Options

There is an inaccurate formula in Huang et al. (1996). In fact, a substantial term is missing in their equation (14) for computing the value of an important option hedging parameter, i.e., the vega. We fix it in this note by providing its correct form and characterizing an associated (new) integral equation. Some related explanations and arguments are also corrected.

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ERN: Other Econometrics: Mathematical Methods & Programming (Topic)

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