论文标题
期权定价在投资风险环境中
Option Pricing in an Investment Risk-Return Setting
论文作者
论文摘要
在本文中，我们结合了现代投资组合理论和期权定价理论，以便在欧洲期权合同中担任职位和基础资产的交易者可以构建最佳投资组合，以便在合同的成熟度之时，合同是完美的。我们为交易者的最佳均值变化投资组合中的基础资产中的最佳持股以及在成熟之前的不良风险数量提供了数量。解决方案假设基础资产的价格动态遵循离散的二项式价格动态，连续扩散，随机波动率，波动性波动率和默顿跳跃扩散。
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We derive both the optimal holdings in the underlying assets for the trader's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the price dynamics in the underlying assets follow discrete binomial price dynamics, continuous diffusions, stochastic volatility, volatility-of-volatility, and Merton-jump diffusion are derived.
