布莱克-斯科尔斯期权定价模型中的对冲误差分析:迈向有限差分的渐近方法

Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty
{"title":"布莱克-斯科尔斯期权定价模型中的对冲误差分析:迈向有限差分的渐近方法","authors":"Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty","doi":"arxiv-2405.02919","DOIUrl":null,"url":null,"abstract":"The Black-Scholes option pricing model remains a cornerstone in financial\nmathematics, yet its application is often challenged by the need for accurate\nhedging strategies, especially in dynamic market environments. This paper\npresents a rigorous analysis of hedge errors within the Black-Scholes\nframework, focusing on the efficacy of finite difference techniques in\ncalculating option sensitivities. Employing an asymptotic approach, we\ninvestigate the behavior of hedge errors under various market conditions,\nemphasizing the implications for risk management and portfolio optimization.\nThrough theoretical analysis and numerical simulations, we demonstrate the\neffectiveness of our proposed method in reducing hedge errors and enhancing the\nrobustness of option pricing models. Our findings provide valuable insights\ninto improving the accuracy of hedging strategies and advancing the\nunderstanding of option pricing in financial markets.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"19 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference\",\"authors\":\"Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty\",\"doi\":\"arxiv-2405.02919\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Black-Scholes option pricing model remains a cornerstone in financial\\nmathematics, yet its application is often challenged by the need for accurate\\nhedging strategies, especially in dynamic market environments. This paper\\npresents a rigorous analysis of hedge errors within the Black-Scholes\\nframework, focusing on the efficacy of finite difference techniques in\\ncalculating option sensitivities. Employing an asymptotic approach, we\\ninvestigate the behavior of hedge errors under various market conditions,\\nemphasizing the implications for risk management and portfolio optimization.\\nThrough theoretical analysis and numerical simulations, we demonstrate the\\neffectiveness of our proposed method in reducing hedge errors and enhancing the\\nrobustness of option pricing models. Our findings provide valuable insights\\ninto improving the accuracy of hedging strategies and advancing the\\nunderstanding of option pricing in financial markets.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"19 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2405.02919\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2405.02919","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

布莱克-斯科尔斯(Black-Scholes)期权定价模型仍然是金融数学的基石,但它的应用常常受到精确对冲策略需求的挑战,尤其是在动态市场环境中。本文对 Black-Scholes 框架内的对冲误差进行了严格分析,重点研究了计算期权敏感性的有限差分技术的有效性。通过理论分析和数值模拟,我们证明了我们提出的方法在减少对冲误差和提高期权定价模型稳健性方面的有效性。我们的研究结果为提高对冲策略的准确性和推进对金融市场期权定价的理解提供了有价值的见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
The Black-Scholes option pricing model remains a cornerstone in financial mathematics, yet its application is often challenged by the need for accurate hedging strategies, especially in dynamic market environments. This paper presents a rigorous analysis of hedge errors within the Black-Scholes framework, focusing on the efficacy of finite difference techniques in calculating option sensitivities. Employing an asymptotic approach, we investigate the behavior of hedge errors under various market conditions, emphasizing the implications for risk management and portfolio optimization. Through theoretical analysis and numerical simulations, we demonstrate the effectiveness of our proposed method in reducing hedge errors and enhancing the robustness of option pricing models. Our findings provide valuable insights into improving the accuracy of hedging strategies and advancing the understanding of option pricing in financial markets.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信