Robust price bounds for the forward starting straddle
Robust price bounds for the forward starting straddle
复制标题
远期起始跨式组合的稳健价格范围
DOI：
10.1007/s00780-014-0249-4
复制
发表时间：
2013
影响因子：
1.7
通讯作者：
Martin Klimmek
中科院分区：
文献类型：
--
作者：
D. Hobson;Martin Klimmek
我们考虑的问题，给出了一个强大的，独立于模型的，价格的下限，远期开始跨支付$|F_{T_{1}} - F_{T_{0}}|$，其中0<T0<T1。我们并没有假设标的远期价格（Ft）t≥0的模型，而是假设到期日为T0<T1的看涨期权价格是已知的，因此标的的边际定律是已知的。首要的问题是找到一个模型，该模型与观察到的看涨期权价格一致，并且使远期起始跨式期权的价格最小化。对偶问题是寻找最便宜的半静态子套期保值，在假定边际律的支持下，但不假设边际律是无原子的或正则的，我们得到了使期权价格最小的耦合的显式表达式，以及半静态子套期保值的形式。
We consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff $|F_{T_{1}} - F_{T_{0}}|$, where 0<T0<T1. Rather than assuming a model for the underlying forward price (Ft)t≥0, we assume that call prices for maturities T0<T1 are given and hence that the marginal laws of the underlying are known. The primal problem is to find the model that is consistent with the observed call prices and for which the price of the forward starting straddle is minimised. The dual problem is to find the cheapest semi-static subhedge.Under an assumption on the supports of the marginal laws, but no assumption that the laws are atom-free or in any other way regular, we derive explicit expressions for the coupling which minimises the price of the option, and the form of the semi-static subhedge.