PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
复制标题
看跌期权对称性：扩展和应用
DOI：
--
复制
发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Roger Lee
中科院分区：
文献类型：
--
作者：
P. Carr;Roger Lee
经典的看跌期权和看涨期权对称性将看跌期权和看涨期权的价格联系在远期价格的两侧。我们在几个方向上扩展了看跌期权对称性。放松假设，我们推广到统一的局部/随机波动率模型和时变Lévy过程，在对称条件下。进一步放宽假设，我们推广到各种不对称动力学。 扩展这些结论，我们取一个任意给定的欧式或单/双/顺序障碍式的收益，我们构造一个等价的共轭欧式索赔，从而构造一个给定收益的半静态对冲。
Classic put‐call symmetry relates the prices of puts and calls at strikes on opposite sides of the forward price. We extend put‐call symmetry in several directions. Relaxing the assumptions, we generalize to unified local/stochastic volatility models and time‐changed Lévy processes, under a symmetry condition. Further relaxing the assumptions, we generalize to various asymmetric dynamics. Extending the conclusions, we take an arbitrarily given payoff of European style or single/double/sequential barrier style, and we construct a conjugate European‐style claim of equal value, and thereby a semistatic hedge of the given payoff.