Option prices as probabilities
Option prices as probabilities
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期权价格作为概率
DOI：
10.1016/j.frl.2008.02.002
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发表时间：
2008
影响因子：
10.4
通讯作者：
M. Yor
中科院分区：
文献类型：
--
作者：
D. Madan;B. Roynette;M. Yor
四个分布函数与看涨期权和看跌期权价格相关，它们被视为执行价格和到期价格的函数。与这些分布相关联的随机变量被确定的过程时，货币定义为股票价格相对于远期价格是一个积极的本地鞅，没有积极的跳跃，在无穷大趋于零。看涨期权的结果要求货币性也是连续鞅。它表明，在罢工的分布是那些剩余的上确界，而调用，他们涉及到剩余的下确界。在成熟期，我们可以看到货币到达的最后时间的分布函数。
Four distribution functions are associated with call and put prices seen as functions of their strike and maturity. The random variables associated with these distributions are identified when the process for moneyness defined as the stock price relative to the forward price is a positive local martingale with no positive jumps that tends to zero at infinity. Results on calls require moneyness to be a continuous martingale as well. It is shown that for puts the distributions in the strike are those for the remaining supremum while for calls, they relate to the remaining infimum. In maturity we see the distribution functions for the last passage times of moneyness to strike.