Dynamics of a binary option market with exogenous information and price sensitivity
Dynamics of a binary option market with exogenous information and price sensitivity
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DOI：
10.1016/j.cnsns.2022.106994
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发表时间：
2022-05
期刊：
影响因子：
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通讯作者：
Hannah Gampe;C. Griffin
中科院分区：
文献类型：
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作者：
Hannah Gampe;C. Griffin
本文导出并分析了具有外生信息的连续二元期权市场。所得到的非线性系统具有不连续的右侧，可以使用零维菲利波夫曲面进行分析。在购买规则的一般假设下，我们证明了当外生信息在二元资产市场上不变时，价格总是收敛的。然后，我们研究了信息变化情况下的市场价格，经验表明，价格敏感性对价格滞后与信息有很强的影响。最后，我们对一般的期权市场提出了一些开放性的问题。
In this paper, we derive and analyze a continuous binary option market with exogenous information. The resulting non-linear system has a discontinuous right hand side, which can be analyzed using zero-dimensional Filippov surfaces. Under general assumptions on purchasing rules, we show that when exogenous information is constant in the binary asset market, the price always converges. We then investigate market prices in the case of changing information, showing empirically that price sensitivity has a strong effect on price lag vs. information. We conclude with open questions on general M-ary option markets.