算术布朗运动下期权的风险中性估值

Qiang Liu, Yuhan Jiao, Shuxin Guo
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引用次数: 0

摘要

2020 年 4 月 22 日,CME 集团对一组石油期货期权改用巴切利定价。巴切利模型,或更广泛的算术布朗运动(ABM),在金融领域的应用并不广泛。本文首次对 ABM 下的期权定价进行了全面研究。利用风险中性估值法,我们推导出了三种标的物的欧式期权公式,即不支付股息的标的物、支付连续股息率的标的物和期货。此外,我们还推导出了类似于布莱克-斯科尔斯-默顿的偏微分方程,原则上可用于通过有限差分对美式期权进行数值定价。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Risk-neutral valuation of options under arithmetic Brownian motions
On April 22, 2020, the CME Group switched to Bachelier pricing for a group of oil futures options. The Bachelier model, or more generally the arithmetic Brownian motion (ABM), is not so widely used in finance, though. This paper provides the first comprehensive survey of options pricing under ABM. Using the risk-neutral valuation, we derive formulas for European options for three underlying types, namely an underlying that does not pay dividends, an underlying that pays a continuous dividend yield, and futures. Further, we derive Black-Scholes-Merton-like partial differential equations, which can in principle be utilized to price American options numerically via finite difference.
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