Option Prices Under Generalized Pricing Kernels
Option Prices Under Generalized Pricing Kernels
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DOI：
10.1007/s11147-005-3852-x
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发表时间：
2005-08
影响因子：
0.8
通讯作者：
Bertram Düring;Erik Lueders
中科院分区：
文献类型：
--
作者：
Bertram Düring;Erik Lueders
本文针对一类较一般的资产特定定价核（ASPK）和标的资产的分布，导出了欧式期权价格的解析解。特殊情况包括在到期日T服从对数正态分布或对数伽马分布的标的资产。这些特殊情况是Black和Scholes（1973）期权定价公式和赫斯顿（1993）期权定价公式在ASPK的非常数弹性下的推广。解析解的正态分布和均匀分布的基础上也派生的一般ASPKs类。隐含波动率的形状进行了分析，以提供进一步的理解之间的关系的形状的ASPK，潜在的主观分布和期权价格。这类ASPKs的属性也比较以前的实证研究中使用的方法。
In this paper analytical solutions for European option prices are derived for a class of rather general asset specific pricing kernels (ASPKs) and distributions of the underlying asset. Special cases include underlying assets that are lognormally or log-gamma distributed at expiration dateT. These special cases are generalizations of the Black and Scholes (1973) option pricing formula and the Heston (1993) option pricing formula for non-constant elasticity of the ASPK. Analytical solutions for a normally distributed and a uniformly distributed underlying are also derived for the class of general ASPKs. The shape of the implied volatility is analyzed to provide further understanding of the relationship between the shape of the ASPK, the underlying subjective distribution and option prices. The properties of this class of ASPKs are also compared to approaches used in previous empirical studies.