论文标题
期权定价在整个市场中纳入因子动态
Option Pricing Incorporating Factor Dynamics in Complete Markets
论文作者
论文摘要
使用Donsker-Prokhorov不变性原则，我们扩展了Kim-Stoyanov-Rachev-Fabozzi选项定价模型以允许可变的交易实例，这是对卖空者期权的重要考虑因素。应用Cherny-Shiryaev-yor不变性原则，我们为离散和连续的时间完整市场制定了一种新的二项式路径依赖定价模型，在这种市场中，股票价格动态取决于市场影响因素的对数返回动态。在离散的情况下，我们将这种新方法的结果扩展到金融市场，采用知情的交易者采用统计套利策略，涉及远期合同的交易。使用美国金融市场数据的数值示例来说明我们的发现。我们的工作为结论提供了进一步的支持：任何期权定价模型都必须保留有关瞬时平均原木返回，股票上流运动（每个交易间隔）的可能性以及其他市场微观结构功能的有价值信息。
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the Cherny-Shiryaev-Yor invariance principles, we formulate a new binomial path-dependent pricing model for discrete- and continuous-time complete markets where the stock price dynamics depends on the log-return dynamics of a market influencing factor. In the discrete case, we extend the results of this new approach to a financial market with informed traders employing a statistical arbitrage strategy involving trading of forward contracts. Our findings are illustrated with numerical examples employing US financial market data. Our work provides further support for the conclusion that any option pricing model must preserve valuable information on the instantaneous mean log-return, the probability of the stock's upturn movement (per trading interval), and other market microstructure features.
