关于Alos分解公式的注解

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2021-08-25 DOI:10.2139/ssrn.3911280

Frido Rolloos

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引用次数: 0

摘要

写出了Alos分解公式，但使用的是巴利耶价格公式，而不是Black-Scholes价格公式。由于巴切利耶公式在价格行权时波动率的线性，分解公式给出了波动率掉期价格的精确表达式。

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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A Note on the Alos Decomposition Formula

The Alos decomposition formula is written down, but making use of Bachelier price formula instead of the Black-Scholes price formula. Due to the linearity of the Bachelier formula in volatility at the at-the-money strike, the decomposition formula gives an exact expression for the price of a volatility swap.

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ERN: Other Econometric Modeling: Derivatives (Topic)

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