论文标题
期权锻炼政策的二次对冲和优化
Quadratic Hedging and Optimization of Option Exercise Policies
论文作者
论文摘要
期权收益的二次对冲会产生差异最佳的群甲指标。当选项以这种方法为特征及其现金流量对冲时，根据此措施优化此类政策可能很容易。由于差异的最佳赛车措施可能不是同等的概率措施，因此着重于美国选择，我们表明，由此产生的锻炼政策可能没有吸引力。有时可以通过对锻炼策略施加时间一致性来纠正这种缺点，但总的来说，即使在这种情况下，这也会加剧熟悉的问题，即对使用此措施进行评估选项的评估可能不会导致套利无套利价值。一种替代和已知的方法通过根据任何给定的同等标准措施来优化期权锻炼政策并将二次对冲固定在该政策的价值上，从而绕开了这两种陷阱。额外的研究可能会对现实应用评估与优化期权锻炼政策相关的限制的幅度，该限制是根据最佳玛特宁格量度测量的。
Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under this measure. Because the variance optimal martingale measure may not be an equivalent probability measure, focusing on American options we show that the resulting exercise policy may be unappealing. This drawback can sometimes be remedied by imposing time consistency on exercise policies, but in general persists even in this case, which compounds the familiar issue that valuing an option using this measure may not result in an arbitrage free value. An alternative and known approach bypasses both of these pitfalls by optimizing option exercise policies under any given equivalent martingale measure and anchoring quadratic hedging to the resulting value of this policy. Additional research may assess on realistic applications the magnitude of the limitations associated with optimizing option exercise policies based on the variance optimal martingale measure.
