条件的条件

IF 0.3 Q4 BUSINESS, FINANCE
Tumellano Sebehela
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引用次数: 0

摘要

选项之间的相互依赖在复合选项中很常见。此外,这种相互联系是概率论的同义词——如何处理一组公理。一种期权的价值依赖于另一种期权,这种条件性已经波及到期权定价,尤其是交易所期权。然而,似乎没有研究探讨过两种选择同时出现是否有条件。本研究使用条件方法(Radon-Nikodým衍生和概率论)来说明交换期权的条件性。此外,对冲策略是基于跨式交易衍生的。结果表明,由于条件的存在,衍生出了另一种奇异的期权——三条件期权(又称三重期权)。三重期权的套期保值包括动态和静态两种技术。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Condition of the Conditionality
The interdependence of options is common among compound options. Moreover, this interconnectedness is synonymous with probability theory-how a set of axioms are treated. The conditionality, where one option value is dependent on another option, has spilled over to option pricing, especially exchange options. However, it seems that no study has explored whether that simultaneous occurrence of two options is conditional or not. This study uses conditional approaches (Radon–Nikodým derivative and probability theory) to illustrate conditionality in an exchange option. Furthermore, hedging strategy is derived based on straddles. The results show that due to conditionality another exotic option, tri-conditional option (also known as triple option) is derived. The hedging of a triple option encompasses both dynamic and static techniques.
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来源期刊
CiteScore
1.30
自引率
11.10%
发文量
36
期刊介绍: This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.
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