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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.14 No.4
- 발행연도
- 2010.12
- 수록면
- 249 - 273 (25page)
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Often in practice, the implied volatility of an option is calculated to find the option price tomorrow or the prices of ‘nearby’ options. To show that one does not need to adhere to the Black- Scholes formula in this scheme, Figlewski has provided a new pricing formula and has shown that his ‘alternating passive model’ performs as well as the Black-Scholes formula [8]. The Figlewski model was modified by Henderson et al. so that the formula would have no static arbitrage [10]. In this paper, we show how to construct a huge class of such static no arbitrage pricing functions, making use of distortions, coherent risk measures and the pricing theory in incomplete markets by Carr et al. [4]. Through this construction, we provide a more elaborate static no arbitrage pricing formula than Black-Sholes in the above scheme. Moreover, using our pricing formula, we find a volatility curve which fits with striking accuracy the synthetic data used by Henderson et al. [10].
목차
ABSTRACT
1. INTRODUCTION
2. STATIC NO ARBITRAGE CONDITIONS
3. FIGLEWSKI(IG) AND MODIFIED FIGLEWSKI(MIG) MODELS
4. VALUATION FUNCTIONALS AND THE STATIC NO ARBITRAGE PRICING FORMULA
5. APPLICATION
Acknowledgment
REFERENCES
참고문헌 (13)
참고문헌 신청
P. Artzner / 1999 / Coherent measures of risk / Mathematical Finance 9:203~228
Y. Z. Bergman / 1996 / General Properties of Option Prices / Journal of Finance 51:1573~1610
F. Black / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economy 81:637~659
P. Carr / 2001 / Pricing and Hedging in Incomplete Markets / Journal of Financial Economics 62:131~167
G. Choquet / 1953 / Theory of Capacities / Ann. Inst. Fourier(Grenoble) 5:131~295
Y. Z. Bergman / 1996 / General Properties of Option Prices / Journal of Finance 51:1573~1610
F. Black / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economy 81:637~659
P. Carr / 2001 / Pricing and Hedging in Incomplete Markets / Journal of Financial Economics 62:131~167
G. Choquet / 1953 / Theory of Capacities / Ann. Inst. Fourier(Grenoble) 5:131~295
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UCI(KEPA) : I410-ECN-0101-2012-410-003837208