关于连续流动、无套利关系和最优投资的上限、下限、领价和交易所期权的新分析表示法

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-08-30 DOI:10.1002/fut.22549

José Carlos Dias, João Pedro Vidal Nunes, Fernando Correia da Silva

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引用次数: 0

摘要

我们提供了以连续流量为条件的有限期限利润上限和下限的估值分析公式，而无需从相应的永续解中减去远期起始永续解的风险中性预期。利用一些无套利关系，可以从利润上限和下限的任何解析表示中轻松获得相关的价格上限、下限和套期保值。最后，我们提供了两种新方法，用于计算存在价格下限和领带制度时投资项目的最优触发器，其计算方法比目前使用的方法简单得多。

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Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage-Free Relations, and Optimal Investments

We offer analytic formulae for valuing finite maturity profit caps and floors that are contingent on continuous flows without the need for subtracting the risk-neutral expectation of the forward starting perpetual solution from the corresponding perpetual solution. The related price caps, floors, and collars are easily obtained from any analytic representation of profit caps and floors using some arbitrage-free relations. Finally, we offer two novel methods for calculating the optimal triggers of investment projects in the presence of price floors and collars regimes in a way that is much simpler than the ones currently used.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.