{"title":"算术布朗运动下期权的风险中性估值","authors":"Qiang Liu, Yuhan Jiao, Shuxin Guo","doi":"arxiv-2405.11329","DOIUrl":null,"url":null,"abstract":"On April 22, 2020, the CME Group switched to Bachelier pricing for a group of\noil futures options. The Bachelier model, or more generally the arithmetic\nBrownian motion (ABM), is not so widely used in finance, though. This paper\nprovides the first comprehensive survey of options pricing under ABM. Using the\nrisk-neutral valuation, we derive formulas for European options for three\nunderlying types, namely an underlying that does not pay dividends, an\nunderlying that pays a continuous dividend yield, and futures. Further, we\nderive Black-Scholes-Merton-like partial differential equations, which can in\nprinciple be utilized to price American options numerically via finite\ndifference.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"75 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Risk-neutral valuation of options under arithmetic Brownian motions\",\"authors\":\"Qiang Liu, Yuhan Jiao, Shuxin Guo\",\"doi\":\"arxiv-2405.11329\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"On April 22, 2020, the CME Group switched to Bachelier pricing for a group of\\noil futures options. The Bachelier model, or more generally the arithmetic\\nBrownian motion (ABM), is not so widely used in finance, though. This paper\\nprovides the first comprehensive survey of options pricing under ABM. Using the\\nrisk-neutral valuation, we derive formulas for European options for three\\nunderlying types, namely an underlying that does not pay dividends, an\\nunderlying that pays a continuous dividend yield, and futures. Further, we\\nderive Black-Scholes-Merton-like partial differential equations, which can in\\nprinciple be utilized to price American options numerically via finite\\ndifference.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"75 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-18\",\"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-2405.11329\",\"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-2405.11329","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.